MRCI's ScenarioSM Study

ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years	34	36	36	37	38	38	38	38	38	38	38
Closed Higher	21	24	19	18	22	17	25	20	28	13	21
Exceeded High	18	19	15	13	17	13	21	16	23	8	16
Scenario Percentage	86%	79%	79%	72%	77%	76%	84%	80%	82%	62%	76%
Avg Max Increase	6.77%	6.53%	9.77%	11.70%	8.52%	9.77%	8.74%	9.34%	7.91%	10.18%	4.97%
Max Increase	20.61%	24.73%	44.63%	33.46%	25.43%	15.91%	16.85%	21.15%	24.91%	17.74%	12.01%
Avg Days To Max Increase	16	16	21	19	17	18	19	16	17	18	9
Avg Max Decline	-1.34%	-1.76%	-3.04%	-1.48%	-3.53%	-2.39%	-2.36%	-2.08%	-2.95%	-2.45%	-0.57%
Max Decline	-6.86%	-6.80%	-13.45%	-5.74%	-7.59%	-5.21%	-7.32%	-10.34%	-7.69%	-5.97%	-2.10%
Avg Days to Max Decline	6	8	11	8	10	9	8	8	8	4	2
2007 Contract Condition		Yes	Yes	Yes	Yes	Yes		Yes			Yes
Action		Yes	Yes	Yes	Yes	Yes		Yes			Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years	34	36	36	37	38	38	38	38	38	38	38
Closed Lower	12	12	16	19	16	21	13	17	10	25	16
Penetrated Low	7	10	14	14	14	11	11	12	9	14	13
Scenario Percentage	58%	83%	88%	74%	88%	52%	85%	71%	90%	56%	81%
Avg Max Decline	12.06%	7.84%	11.50%	9.58%	6.28%	8.74%	7.48%	5.11%	9.49%	7.70%	11.66%
Max Decline	31.51%	27.41%	27.67%	17.77%	16.81%	20.45%	17.50%	9.50%	28.71%	16.93%	30.56%
Avg Days To Max Decline	17	17	21	18	14	16	15	15	18	9	13
Avg Max Increase	-1.45%	-2.37%	-2.59%	-1.76%	-2.37%	-2.46%	-3.28%	-3.73%	-2.72%	-2.36%	-1.57%
Max Increase	-3.74%	-6.91%	-6.74%	-7.73%	-6.59%	-7.87%	-6.78%	-13.93%	-9.20%	-10.11%	-5.41%
Avg Days to Max Increase	11	11	8	11	7	8	14	13	7	6	3
2007 Contract Condition	Yes						Yes		Yes	Yes
Action	No						No		Yes	Yes
High	57.175	57.000	58.500	60.500	61.300	63.850	65.700	68.150	68.750	65.375	64.600
Low	54.025	54.300	55.825	57.150	58.350	60.100	60.500	60.600	63.950	61.350	59.100
Close/Last	54.700	56.950	57.275	59.075	60.950	63.675	61.900	68.050	65.175	61.700	64.525