MRCI's ScenarioSM Study

ScenarioSM Study for April Lean Hogs(CME) as of Jan 01, 2013
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		38	41	42	42	42	43	43	43	43	43	43
Closed Higher		18	19	23	14	24	23	30	20	26	15	21
Exceeded High		15	10	18	12	19	20	25	15	21	12	12
Scenario Percentage		83%	53%	78%	86%	79%	87%	83%	75%	81%	80%	57%
Avg Max Increase		10.40%	13.06%	8.05%	7.57%	7.89%	9.08%	7.43%	10.15%	8.59%	9.52%	5.82%
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	16	18	14	22	19	18	19	15	13	8
Avg Max Decline		-2.09%	-1.24%	-3.57%	-2.29%	-2.11%	-1.52%	-3.27%	-1.86%	-2.31%	-1.86%	-0.88%
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	8	10	8	10	11	10	8	8	7	2
2012 Contract Condition			Yes	Yes		Yes		Yes		Yes	Yes
Action			Yes	Yes		Yes		No		Yes	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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		38	41	42	42	42	43	43	43	43	43	43
Closed Lower		20	22	19	27	17	20	13	22	17	28	22
Penetrated Low		17	15	17	15	15	16	10	13	14	22	12
Scenario Percentage		85%	68%	89%	56%	88%	80%	77%	59%	82%	79%	55%
Avg Max Decline		9.73%	9.79%	7.09%	7.58%	6.85%	4.88%	8.18%	9.05%	10.03%	9.36%	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		18	16	15	16	16	18	13	17	21	10	6
Avg Max Increase		-2.41%	-1.70%	-1.84%	-2.50%	-3.12%	-3.93%	-1.58%	-3.08%	-1.79%	-1.29%	-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	14	3	11	14	3	2
2012 Contract Condition		Yes			Yes		Yes		Yes			Yes
Action		No			No		Yes		No			Not Yet
High	91.300	87.775	90.425	92.400	93.100	93.600	95.750	94.500	93.835	89.250	90.980	90.730
Low	86.450	83.275	84.050	87.625	87.350	88.400	91.950	89.500	85.450	85.700	87.700	82.800
Close/Last	87.300	85.800	87.750	92.100	89.725	93.500	92.725	93.300	87.700	88.885	89.430	83.430