MRCI's ScenarioSM Study

ScenarioSM Study for June Lean Hogs(CME) as of Jan 01, 2010
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	37	38	40	40	40	40	40	40	40	40	40
Closed Higher	19	16	25	22	30	21	28	19	22	23	23
Exceeded High	14	15	18	17	25	20	23	18	20	18	9
Scenario Percentage	74%	94%	72%	77%	83%	95%	82%	95%	91%	78%	39%
Avg Max Increase	8.08%	6.32%	6.27%	7.32%	6.95%	8.65%	8.59%	8.80%	10.76%	7.36%	4.71%
Max Increase	20.43%	10.89%	11.38%	18.26%	21.48%	29.71%	25.88%	19.19%	23.06%	16.88%	7.53%
Avg Days To Max Increase	14	12	23	17	19	17	18	16	18	12	9
Avg Max Decline	-2.85%	-1.48%	-1.72%	-1.76%	-3.10%	-1.43%	-2.55%	-1.80%	-2.13%	-1.51%	-0.31%
Max Decline	-7.45%	-3.70%	-7.01%	-5.95%	-8.69%	-4.80%	-7.58%	-6.47%	-8.16%	-4.44%	-1.49%
Avg Days to Max Decline	8	8	13	9	12	7	12	7	6	3	2
2009 Contract Condition					Yes
Action					No

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	37	38	40	40	40	40	40	40	40	40	40
Closed Lower	18	22	15	18	10	18	12	21	18	17	17
Penetrated Low	15	12	13	12	6	12	9	15	15	14	14
Scenario Percentage	83%	55%	87%	67%	60%	67%	75%	71%	83%	82%	82%
Avg Max Decline	5.80%	6.87%	6.08%	5.01%	8.30%	6.30%	8.65%	11.35%	10.27%	8.43%	13.04%
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	17	16	16	21	16	16	13	11
Avg Max Increase	-1.53%	-2.41%	-2.49%	-3.55%	-1.95%	-2.22%	-1.78%	-1.48%	-2.31%	-2.64%	-1.35%
Max Increase	-5.41%	-8.88%	-5.64%	-11.19%	-6.86%	-6.79%	-6.59%	-7.24%	-6.95%	-7.67%	-4.70%
Avg Days to Max Increase	9	10	6	11	3	14	17	6	8	6	-48
2009 Contract Condition	Yes	Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action	Yes	Yes	Yes	No		Yes	Yes	Yes	Yes	Yes	Yes
High	100.250	96.500	90.675	86.600	83.250	82.700	82.600	77.025	75.925	74.825	69.475
Low	93.725	88.000	83.675	76.350	78.400	76.450	72.700	69.525	70.525	63.800	63.400
Close/Last	96.200	90.000	86.675	79.975	83.050	79.900	75.500	72.525	72.400	64.525	63.925