MRCI's ScenarioSM Study

ScenarioSM Study for April Lean Hogs(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		34	37	38	38	38	39	39	39	39	39	39
Closed Higher		16	16	21	14	21	22	26	19	24	14	19
Exceeded High		14	8	16	12	17	19	23	14	19	11	11
Scenario Percentage		88%	50%	76%	86%	81%	86%	88%	74%	79%	79%	58%
Avg Max Increase		10.41%	15.09%	8.53%	7.57%	7.80%	9.18%	7.05%	9.93%	9.32%	9.75%	6.41%
Max Increase		48.25%	35.05%	22.84%	13.01%	15.01%	19.24%	22.86%	28.25%	26.30%	16.23%	11.09%
Avg Days To Max Increase		22	17	17	14	22	19	17	19	15	13	10
Avg Max Decline		-2.03%	-1.19%	-3.52%	-2.29%	-2.10%	-1.51%	-3.31%	-1.79%	-2.30%	-1.59%	-0.91%
Max Decline		-7.98%	-8.14%	-7.46%	-4.33%	-5.29%	-7.71%	-8.74%	-3.97%	-8.38%	-3.91%	-1.86%
Avg Days to Max Decline		8	10	10	8	11	10	9	8	8	5	2
2008 Contract Condition				Yes				Yes		Yes
Action				No				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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		34	37	38	38	38	39	39	39	39	39	39
Closed Lower		18	21	17	23	16	17	13	19	15	25	20
Penetrated Low		16	14	15	14	14	13	10	11	12	20	11
Scenario Percentage		89%	67%	88%	61%	88%	76%	77%	58%	80%	80%	55%
Avg Max Decline		10.10%	9.22%	6.06%	6.91%	6.55%	4.96%	8.18%	8.59%	10.54%	9.73%	5.22%
Max Decline		23.15%	18.78%	17.37%	18.93%	19.03%	10.59%	20.97%	15.56%	24.53%	32.35%	21.30%
Avg Days To Max Decline		19	16	15	16	16	19	13	18	23	9	5
Avg Max Increase		-2.47%	-1.53%	-1.98%	-2.56%	-3.31%	-4.27%	-1.58%	-2.66%	-1.95%	-1.16%	-0.90%
Max Increase		-8.70%	-6.77%	-7.07%	-11.23%	-7.40%	-15.59%	-4.46%	-6.12%	-5.17%	-3.20%	-2.51%
Avg Days to Max Increase		8	7	7	9	11	14	3	11	16	3	2
2008 Contract Condition		Yes	Yes		Yes	Yes	Yes		Yes		Yes	Yes
Action		Yes	Yes		Yes	Yes	Yes		Yes		Yes	Not Yet
High	71.700	70.475	71.700	74.250	73.025	73.300	70.350	68.100	68.350	66.700	67.650	60.000
Low	69.500	67.350	66.800	66.550	66.650	68.900	63.900	63.850	62.900	60.900	59.600	54.125
Close/Last	70.575	68.800	67.050	73.425	70.800	69.625	64.750	67.500	63.750	66.450	59.950	57.075