MRCI's ScenarioSM Study

ScenarioSM Study for June 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		41	42	44	44	44	44	44	44	44	44	44
Closed Higher		22	17	28	24	34	22	31	20	24	25	25
Exceeded High		17	16	21	19	28	21	25	19	22	19	12
Scenario Percentage		77%	94%	75%	79%	82%	95%	81%	95%	92%	76%	48%
Avg Max Increase		7.14%	6.01%	6.18%	6.86%	6.86%	8.80%	8.11%	8.75%	10.07%	8.06%	5.75%
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		17	12	22	16	19	17	19	16	18	13	11
Avg Max Decline		-2.91%	-1.64%	-1.92%	-1.77%	-2.95%	-1.45%	-2.63%	-1.94%	-2.00%	-1.58%	-0.50%
Max Decline		-7.45%	-4.09%	-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	14	9	12	7	13	8	6	3	2
2013 Contract Condition		Yes	Yes		Yes	Yes		Yes			Yes	Yes
Action		Yes	Yes		Yes	Yes		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		41	42	44	44	44	44	44	44	44	44	44
Closed Lower		19	25	16	20	10	21	13	24	20	19	19
Penetrated Low		16	12	13	13	6	14	10	18	16	16	12
Scenario Percentage		84%	48%	81%	65%	60%	67%	77%	75%	80%	84%	63%
Avg Max Decline		6.18%	6.88%	6.08%	5.17%	8.30%	6.24%	8.11%	10.73%	10.14%	8.14%	5.68%
Max Decline		16.03%	18.42%	15.95%	11.76%	15.50%	13.32%	22.26%	25.20%	30.01%	28.52%	12.55%
Avg Days To Max Decline		14	15	19	17	16	15	19	17	15	13	6
Avg Max Increase		-1.44%	-2.41%	-2.49%	-3.42%	-1.95%	-2.42%	-1.58%	-1.50%	-2.46%	-2.43%	-0.55%
Max Increase		-5.41%	-8.89%	-5.64%	-11.18%	-6.86%	-6.79%	-6.58%	-7.24%	-6.94%	-7.67%	-4.70%
Avg Days to Max Increase		9	10	6	12	3	14	15	5	8	5	1
2013 Contract Condition				Yes			Yes		Yes	Yes
Action				No			Yes		Yes	No
High	91.000	100.200	100.430	100.400	101.480	101.650	101.700	99.500	98.585	92.180	93.085	95.930
Low	87.980	90.750	97.250	96.050	97.780	97.550	97.750	95.980	90.280	87.100	88.180	90.000
Close/Last	91.000	99.350	100.150	98.230	100.450	101.530	97.850	98.100	91.480	91.085	92.585	95.635