MRCI's ScenarioSM Study

ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		41	43	43	44	45	45	45	45	45	45	45
Closed Higher		24	27	23	22	27	18	29	23	34	14	27
Exceeded High		20	20	18	16	20	14	24	18	26	9	19
Scenario Percentage		83%	74%	78%	73%	74%	78%	83%	78%	76%	64%	70%
Avg Max Increase		6.38%	6.57%	8.89%	10.53%	7.64%	9.77%	8.85%	8.94%	7.96%	10.14%	4.45%
Max Increase		20.61%	24.73%	44.63%	33.46%	25.43%	15.91%	19.64%	21.15%	24.91%	17.74%	12.03%
Avg Days To Max Increase		16	16	22	19	16	19	20	16	17	19	8
Avg Max Decline		-1.28%	-1.81%	-2.97%	-1.61%	-3.34%	-2.24%	-2.37%	-2.20%	-3.02%	-2.55%	-0.53%
Max Decline		-6.86%	-6.80%	-13.45%	-5.74%	-7.58%	-5.21%	-7.32%	-10.34%	-7.69%	-5.97%	-2.10%
Avg Days to Max Decline		6	10	13	8	9	9	7	8	9	4	2
2014 Contract Condition				Yes			Yes	Yes	Yes			Yes
Action				Yes			Yes	Yes	No			Not Yet

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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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		41	43	43	44	45	45	45	45	45	45	45
Closed Lower		16	16	19	21	18	27	16	21	11	31	17
Penetrated Low		9	14	16	16	15	16	13	16	10	17	12
Scenario Percentage		56%	88%	84%	76%	83%	59%	81%	76%	91%	55%	71%
Avg Max Decline		10.25%	6.92%	10.61%	9.73%	6.99%	8.77%	8.54%	5.23%	9.22%	7.32%	4.94%
Max Decline		31.51%	27.40%	27.67%	20.29%	16.96%	20.45%	17.50%	9.50%	28.71%	16.93%	10.85%
Avg Days To Max Decline		18	18	19	16	14	16	14	16	17	10	9
Avg Max Increase		-2.06%	-2.23%	-2.59%	-1.79%	-2.21%	-2.56%	-2.78%	-3.69%	-2.49%	-2.50%	-0.98%
Max Increase		-4.58%	-6.92%	-6.74%	-7.74%	-6.59%	-7.87%	-6.78%	-13.93%	-9.20%	-10.11%	-3.28%
Avg Days to Max Increase		11	9	8	11	7	8	13	16	7	6	2
2014 Contract Condition		Yes	Yes			Yes				Yes	Yes
Action		No	Yes			No				Yes	Yes
High	85.300	82.500	82.000	83.800	84.885	84.950	86.550	90.350	94.900	92.500	90.980	87.430
Low	80.300	78.200	79.500	79.150	82.450	82.180	82.680	86.250	87.730	89.400	84.650	84.500
Close/Last	81.550	81.200	81.150	83.800	83.800	82.950	86.500	88.900	92.030	90.585	85.430	86.230