MRCI's ScenarioSM Study

ScenarioSM Study for June Lean Hogs(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	35	36	38	38	38	38	38	38	38	38	38
Closed Higher	18	16	24	22	28	21	27	19	22	22	22
Exceeded High	14	15	18	17	24	20	22	18	20	17	10
Scenario Percentage	78%	94%	75%	77%	86%	95%	81%	95%	91%	77%	45%
Avg Max Increase	8.08%	6.32%	6.27%	7.32%	7.14%	8.65%	8.81%	8.80%	10.76%	8.00%	5.73%
Max Increase	20.43%	10.89%	11.38%	18.26%	21.48%	29.71%	25.88%	19.19%	23.06%	17.35%	10.69%
Avg Days To Max Increase	14	12	23	17	19	17	19	16	18	13	11
Avg Max Decline	-2.85%	-1.48%	-1.72%	-1.76%	-2.93%	-1.43%	-2.66%	-1.80%	-2.13%	-1.39%	-0.50%
Max Decline	-7.45%	-3.70%	-7.01%	-5.95%	-8.69%	-4.80%	-7.58%	-6.47%	-8.16%	-4.44%	-2.21%
Avg Days to Max Decline	8	8	13	9	11	7	12	7	6	3	2
2007 Contract Condition	Yes	Yes		Yes	Yes		Yes	Yes
Action	Yes	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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	35	36	38	38	38	38	38	38	38	38	38
Closed Lower	17	20	14	16	10	16	11	19	16	16	16
Penetrated Low	14	11	12	11	6	10	8	13	13	13	13
Scenario Percentage	82%	55%	86%	69%	60%	62%	73%	68%	81%	81%	81%
Avg Max Decline	5.28%	6.12%	5.59%	5.14%	8.30%	5.98%	8.75%	11.11%	10.67%	8.11%	13.14%
Max Decline	16.03%	18.42%	15.95%	11.76%	15.50%	13.32%	22.26%	25.20%	30.00%	28.53%	28.40%
Avg Days To Max Decline	15	15	19	16	16	16	21	16	17	13	12
Avg Max Increase	-1.62%	-2.56%	-2.70%	-3.55%	-1.95%	-2.32%	-1.75%	-1.36%	-2.40%	-2.25%	-1.47%
Max Increase	-5.41%	-8.88%	-5.64%	-11.19%	-6.86%	-6.79%	-6.59%	-7.24%	-6.95%	-5.20%	-4.70%
Avg Days to Max Increase	10	10	7	8	3	16	18	5	9	5	-51
2007 Contract Condition			Yes			Yes			Yes	Yes	Yes
Action			No			Yes			No	Yes	Yes
High	67.550	68.600	68.900	73.200	75.250	74.950	77.500	78.750	79.050	78.125	76.000
Low	64.500	66.700	65.725	66.850	71.850	71.750	70.900	75.550	72.550	74.200	73.300
Close/Last	67.550	68.250	67.300	73.100	74.850	73.450	77.350	78.050	75.400	75.100	75.075