MRCI's ScenarioSM Study

ScenarioSM Study for April Lean Hogs(CME) as of Dec 31, 2010
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		36	39	40	40	40	41	41	41	41	41	41
Closed Higher		18	17	21	14	22	23	28	19	24	15	20
Exceeded High		15	8	16	12	18	20	24	14	19	12	12
Scenario Percentage		83%	47%	76%	86%	82%	87%	86%	74%	79%	80%	60%
Avg Max Increase		10.40%	15.09%	8.53%	7.57%	8.19%	9.08%	6.98%	9.93%	9.32%	9.53%	6.40%
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		-2.09%	-1.19%	-3.52%	-2.29%	-2.15%	-1.52%	-3.32%	-1.79%	-2.30%	-1.86%	-0.82%
Max Decline		-7.98%	-8.14%	-7.46%	-4.33%	-5.29%	-7.71%	-8.74%	-3.97%	-8.38%	-4.81%	-1.86%
Avg Days to Max Decline		8	10	10	8	10	11	10	8	8	7	2
2010 Contract Condition		Yes				Yes	Yes	Yes			Yes	Yes
Action		No				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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		36	39	40	40	40	41	41	41	41	41	41
Closed Lower		18	22	19	25	17	18	13	21	17	26	21
Penetrated Low		16	15	17	15	15	14	10	13	14	20	12
Scenario Percentage		89%	68%	89%	60%	88%	78%	77%	62%	82%	77%	57%
Avg Max Decline		10.10%	9.79%	7.09%	7.58%	6.85%	4.97%	8.18%	9.05%	10.03%	9.73%	5.13%
Max Decline		23.15%	18.78%	17.37%	18.93%	19.03%	10.59%	20.97%	17.21%	24.53%	32.35%	21.30%
Avg Days To Max Decline		19	16	15	16	16	19	13	17	21	9	6
Avg Max Increase		-2.47%	-1.70%	-1.84%	-2.50%	-3.12%	-4.32%	-1.58%	-3.08%	-1.79%	-1.16%	-0.88%
Max Increase		-8.70%	-6.77%	-7.07%	-11.23%	-7.40%	-15.59%	-4.46%	-6.33%	-5.17%	-3.20%	-2.51%
Avg Days to Max Increase		8	7	6	9	10	15	3	11	14	3	2
2010 Contract Condition			Yes	Yes	Yes				Yes	Yes
Action			Yes	Yes	No				Yes	Yes
High	72.175	72.500	72.200	68.150	63.250	64.050	66.900	71.125	71.600	74.300	72.950	74.150
Low	66.700	69.100	64.450	61.000	53.875	58.225	60.000	65.600	68.025	68.300	65.650	69.300
Close/Last	69.175	70.500	65.450	62.800	58.225	61.900	66.800	70.550	69.875	68.600	72.800	73.325