MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	38	39	39	39	40	40	40	40	40	40	40
Closed Higher	14	21	22	29	20	29	18	22	28	19	18
Exceeded High	12	16	18	25	19	24	16	21	22	13	11
Scenario Percentage	86%	76%	82%	86%	95%	83%	89%	95%	79%	68%	61%
Avg Max Increase	6.33%	6.38%	6.79%	6.58%	8.32%	8.13%	9.23%	9.51%	8.90%	9.22%	5.80%
Max Increase	10.45%	13.34%	17.73%	21.48%	28.70%	25.16%	19.41%	20.92%	30.50%	30.02%	10.75%
Avg Days To Max Increase	14	24	19	17	14	18	18	18	19	8	9
Avg Max Decline	-1.58%	-1.57%	-1.85%	-2.86%	-1.20%	-2.19%	-1.74%	-1.71%	-2.30%	-1.41%	-0.86%
Max Decline	-3.23%	-3.96%	-5.04%	-8.99%	-5.15%	-7.88%	-5.44%	-7.20%	-7.12%	-5.05%	-4.18%
Avg Days to Max Decline	8	15	8	11	7	10	6	8	13	4	3
2009 Contract Condition				Yes
Action				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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	38	39	39	39	40	40	40	40	40	40	40
Closed Lower	23	18	17	10	19	11	22	18	12	21	22
Penetrated Low	13	16	12	6	14	7	15	15	12	16	21
Scenario Percentage	57%	89%	71%	60%	74%	64%	68%	83%	100%	76%	95%
Avg Max Decline	6.39%	5.14%	4.42%	7.06%	4.98%	7.71%	10.50%	9.04%	9.73%	8.41%	13.13%
Max Decline	17.32%	14.41%	10.96%	14.73%	11.62%	20.65%	24.29%	29.39%	32.27%	27.57%	26.87%
Avg Days To Max Decline	16	19	17	12	14	22	14	17	20	13	13
Avg Max Increase	-2.20%	-2.59%	-3.04%	-0.97%	-2.53%	-2.37%	-1.75%	-2.37%	-3.65%	-2.15%	-2.47%
Max Increase	-8.66%	-6.72%	-10.10%	-2.36%	-7.12%	-6.15%	-7.93%	-6.77%	-11.23%	-5.60%	-8.78%
Avg Days to Max Increase	10	8	10	2	13	23	8	8	10	7	5
2009 Contract Condition	Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action	Yes	Yes	No		Yes	Yes	Yes	Yes	Yes	Yes	Not Yet
High	94.550	89.300	85.200	82.000	81.850	82.050	78.150	76.900	75.800	71.175	66.250
Low	86.200	82.500	74.650	78.200	75.675	72.550	70.500	71.450	66.750	64.425	56.275
Close/Last	88.100	84.950	78.750	81.925	79.675	75.475	74.350	72.300	67.300	65.625	58.675