MRCI's ScenarioSM Study

ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2010
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	36	38	38	39	40	40	40	40	40	40	40
Closed Higher	21	26	20	19	24	17	25	20	30	13	22
Exceeded High	18	20	16	13	18	13	21	16	24	8	17
Scenario Percentage	86%	77%	80%	68%	75%	76%	84%	80%	80%	62%	77%
Avg Max Increase	6.77%	6.57%	9.57%	11.70%	8.07%	9.77%	8.74%	9.34%	7.69%	10.04%	4.73%
Max Increase	20.61%	24.73%	44.63%	33.46%	25.43%	15.91%	16.85%	21.15%	24.91%	17.40%	12.01%
Avg Days To Max Increase	16	16	21	19	16	18	19	16	16	17	8
Avg Max Decline	-1.34%	-1.81%	-3.07%	-1.48%	-3.46%	-2.39%	-2.36%	-2.08%	-2.99%	-2.45%	-0.50%
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	10	11	8	9	9	8	8	8	4	2
2009 Contract Condition		Yes	Yes	Yes	Yes				Yes
Action		Yes	Yes	No	No				No

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	36	38	38	39	40	40	40	40	40	40	40
Closed Lower	14	12	17	20	16	23	15	19	10	27	17
Penetrated Low	8	10	15	15	14	13	13	14	9	16	13
Scenario Percentage	57%	83%	88%	75%	88%	57%	87%	74%	90%	59%	76%
Avg Max Decline	11.07%	7.84%	11.00%	9.03%	6.28%	9.88%	8.54%	5.30%	9.49%	7.70%	11.46%
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	19	17	19	17	14	17	14	17	18	10	13
Avg Max Increase	-1.74%	-2.37%	-2.68%	-1.62%	-2.37%	-2.52%	-2.78%	-4.03%	-2.72%	-2.51%	-1.52%
Max Increase	-3.77%	-6.91%	-6.74%	-7.73%	-6.59%	-7.87%	-6.78%	-13.93%	-9.20%	-10.11%	-4.83%
Avg Days to Max Increase	11	11	9	10	7	8	13	16	7	6	3
2009 Contract Condition	Yes					Yes	Yes	Yes		Yes	Yes
Action	No					Yes	Yes	Yes		Yes	Not Yet
High	81.250	82.600	83.000	85.450	84.525	83.000	77.400	71.125	67.100	66.850	65.300
Low	71.700	72.900	77.800	77.400	79.000	74.700	69.700	62.100	60.500	58.850	55.550
Close/Last	73.675	79.650	80.175	81.400	82.600	75.950	70.650	62.975	67.025	60.875	58.550