MRCI's ScenarioSM Study

ScenarioSM Study for April Lean Hogs(CME) as of Jan 01, 2014
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		39	42	43	43	43	44	44	44	44	44	44
Closed Higher		19	20	24	14	24	24	31	20	27	15	21
Exceeded High		16	11	18	12	19	21	25	15	21	12	12
Scenario Percentage		84%	55%	75%	86%	79%	88%	81%	75%	78%	80%	57%
Avg Max Increase		10.30%	12.51%	8.05%	7.57%	7.89%	8.77%	7.43%	10.15%	8.59%	9.49%	5.65%
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		23	17	18	14	22	19	18	19	15	13	8
Avg Max Decline		-2.09%	-1.20%	-3.57%	-2.29%	-2.11%	-1.60%	-3.27%	-1.86%	-2.31%	-1.81%	-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	9	10	8	10	10	10	8	8	5	2
2013 Contract Condition		Yes	Yes	Yes			Yes	Yes		Yes
Action		Yes	Yes	No			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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		39	42	43	43	43	44	44	44	44	44	44
Closed Lower		20	22	19	28	18	20	13	23	17	29	23
Penetrated Low		17	15	17	16	15	16	10	14	14	23	12
Scenario Percentage		85%	68%	89%	57%	83%	80%	77%	61%	82%	79%	52%
Avg Max Decline		9.73%	9.79%	7.09%	7.42%	6.85%	4.88%	8.18%	9.06%	10.03%	9.18%	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	18	21	10	6
Avg Max Increase		-2.41%	-1.70%	-1.84%	-2.36%	-3.12%	-3.93%	-1.58%	-3.04%	-1.79%	-1.31%	-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	8	10	14	3	10	14	3	2
2013 Contract Condition					Yes	Yes			Yes		Yes	Yes
Action					Yes	No			Yes		Yes	Not Yet
High	85.385	83.480	85.050	90.900	90.335	88.600	91.000	92.835	92.180	90.950	90.150	82.350
Low	80.150	79.475	81.750	84.180	85.850	84.030	86.450	87.700	88.030	86.885	80.635	76.800
Close/Last	81.650	83.480	84.885	90.300	88.385	87.550	90.500	91.780	88.730	89.350	81.000	80.600