MRCI's ScenarioSM Study

ScenarioSM Study for April 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	35	38	39	39	39	40	40	40	40	40	40
Closed Higher	17	17	21	14	21	22	27	19	24	14	19
Exceeded High	15	8	16	12	17	19	23	14	19	11	11
Scenario Percentage	88%	47%	76%	86%	81%	86%	85%	74%	79%	79%	58%
Avg Max Increase	10.40%	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%	28.24%	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	-2.09%	-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
2009 Contract Condition	Yes	Yes					Yes
Action	Yes	No					No

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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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	35	38	39	39	39	40	40	40	40	40	40
Closed Lower	18	21	18	24	17	18	13	20	16	26	21
Penetrated Low	16	14	16	15	15	14	10	12	13	20	14
Scenario Percentage	89%	67%	89%	62%	88%	78%	77%	60%	81%	77%	67%
Avg Max Decline	10.10%	9.22%	6.65%	7.58%	6.85%	4.97%	8.18%	9.31%	10.47%	9.73%	10.06%
Max Decline	23.15%	18.77%	17.37%	18.94%	19.03%	10.59%	20.97%	17.21%	24.52%	32.35%	24.07%
Avg Days To Max Decline	19	16	15	16	16	19	13	18	23	9	6
Avg Max Increase	-2.47%	-1.53%	-1.91%	-2.50%	-3.12%	-4.32%	-1.58%	-2.81%	-1.93%	-1.16%	-1.45%
Max Increase	-8.70%	-6.77%	-7.07%	-11.23%	-7.40%	-15.59%	-4.46%	-6.12%	-5.17%	-3.20%	-6.74%
Avg Days to Max Increase	8	7	6	9	10	15	3	10	15	3	3
2009 Contract Condition			Yes	Yes	Yes	Yes		Yes	Yes	Yes	Yes
Action			Yes	Yes	Yes	Yes		Yes	Yes	Not Yet	Yes
High	86.000	92.500	91.950	88.750	82.500	76.050	73.600	73.400	71.725	64.050	63.750
Low	81.900	81.500	84.800	79.400	74.400	67.350	68.325	66.500	60.250	56.875	59.750
Close/Last	83.875	88.950	88.050	81.175	75.650	70.150	73.500	68.700	62.975	60.900	60.350