MRCI's ScenarioSM Study

ScenarioSM Study for October Lean Hogs(CME) as of Apr 30, 2006
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	33	34	35	36	36	36	36	36	36	36	37
Closed Higher	21	20	24	14	23	24	18	15	20	19	25
Exceeded High	17	17	19	12	19	17	16	11	18	16	16
Scenario Percentage	81%	85%	79%	86%	83%	71%	89%	73%	90%	84%	64%
Avg Max Increase	6.19%	6.84%	8.67%	9.78%	7.83%	9.05%	11.26%	14.04%	9.64%	9.21%	5.06%
Max Increase	13.88%	22.10%	30.19%	23.22%	18.19%	25.89%	44.70%	33.79%	32.64%	20.47%	13.06%
Avg Days To Max Increase	17	12	21	18	19	18	19	19	17	9	8
Avg Max Decline	-2.81%	-0.98%	-2.82%	-1.72%	-2.09%	-1.36%	-2.68%	-2.68%	-4.24%	-1.88%	-0.61%
Max Decline	-9.45%	-5.79%	-6.89%	-5.74%	-9.70%	-6.61%	-14.68%	-5.53%	-13.13%	-10.53%	-2.52%
Avg Days to Max Decline	11	5	13	8	8	6	9	12	11	3	3
2006 Contract Condition	Yes	Yes		Yes		Yes	Yes
Action	Yes	No		Yes		Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	33	34	35	36	36	36	36	36	36	36	37
Closed Lower	12	14	11	20	13	12	18	21	15	17	12
Penetrated Low	9	10	8	13	9	11	17	16	10	11	11
Scenario Percentage	75%	71%	73%	65%	69%	92%	94%	76%	67%	65%	92%
Avg Max Decline	4.86%	4.27%	4.28%	10.19%	12.59%	9.73%	10.20%	11.97%	9.28%	6.69%	10.15%
Max Decline	11.67%	10.52%	7.31%	27.61%	34.99%	34.01%	27.95%	24.81%	16.61%	22.06%	21.72%
Avg Days To Max Decline	15	18	16	15	20	20	15	22	18	8	12
Avg Max Increase	-1.62%	-2.53%	-2.22%	-1.67%	-1.73%	-3.46%	-2.54%	-2.99%	-3.40%	-0.80%	-2.66%
Max Increase	-9.88%	-5.98%	-7.02%	-7.23%	-4.50%	-10.33%	-8.28%	-13.02%	-9.42%	-6.01%	-7.17%
Avg Days to Max Increase	3	16	12	6	10	21	10	12	9	6	4
2006 Contract Condition			Yes		Yes
Action			No		Yes
High	57.750	59.600	58.100	57.050	57.550	57.800	58.000
Low	55.900	57.000	53.350	53.600	54.300	53.600	57.700
Close/Last	57.750	58.050	55.450	56.600	54.650	57.575	57.750