MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		11	12	12	12	12	12	12	12	12	12	12
Closed Higher		6	9	6	7	8	11	3	8	6	6	7
Exceeded High		6	8	6	6	6	9	3	7	5	6	7
Scenario Percentage		100%	89%	100%	86%	75%	82%	100%	88%	83%	100%	100%
Avg Max Increase		7.78%	4.23%	4.11%	7.75%	5.73%	4.00%	5.95%	4.55%	8.41%	7.25%	4.71%
Max Increase		17.80%	7.45%	7.33%	16.19%	15.29%	14.81%	10.89%	14.19%	20.78%	20.55%	11.59%
Avg Days To Max Increase		15	21	12	26	22	20	17	16	15	8	8
Avg Max Decline		-0.23%	-2.43%	-1.49%	-2.61%	-1.95%	-4.65%	-3.10%	-2.15%	-2.11%	-3.03%	-0.73%
Max Decline		-1.50%	-3.35%	-4.37%	-5.45%	-3.84%	-9.21%	-5.91%	-5.63%	-3.95%	-4.58%	-2.24%
Avg Days to Max Decline		2	13	8	10	7	17	14	17	9	6	2
2013 Contract Condition		Yes	Yes	Yes		Yes	Yes		Yes		Yes	Yes
Action		Yes	Yes	Yes		Yes	No		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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		11	12	12	12	12	12	12	12	12	12	12
Closed Lower		5	3	6	5	4	1	8	4	6	6	5
Penetrated Low		3	3	3	3	1	1	6	4	6	5	5
Scenario Percentage		60%	100%	50%	60%	25%	100%	75%	100%	100%	83%	100%
Avg Max Decline		7.31%	8.69%	6.79%	5.22%	4.40%	8.32%	7.74%	6.38%	10.28%	11.00%	4.90%
Max Decline		17.13%	12.24%	13.95%	10.95%	4.40%	8.32%	14.53%	9.08%	19.48%	27.76%	6.09%
Avg Days To Max Decline		14	13	14	18	28	26	12	18	17	6	5
Avg Max Increase		-3.20%	-0.42%	-1.39%	-2.79%	-3.28%	-0.45%	-1.14%	-1.33%	-1.43%	-1.21%	-0.49%
Max Increase		-6.90%	-0.98%	-3.18%	-4.93%	-3.28%	-0.45%	-3.47%	-4.41%	-4.13%	-2.80%	-1.85%
Avg Days to Max Increase		21	2	6	3	40	1	6	17	14	4	1
2013 Contract Condition					Yes			Yes		Yes
Action					No			Yes		Yes
High	87.000	89.400	96.750	97.250	97.000	98.500	99.200	98.950	97.280	96.750	90.450	90.500
Low	84.400	86.300	89.000	94.500	93.000	95.085	94.950	95.500	94.150	88.180	86.385	85.450
Close/Last	86.900	89.400	96.400	97.250	95.650	97.750	98.850	95.730	96.385	89.300	89.550	90.100