MRCI's ScenarioSM Study

ScenarioSM Study for July Lean Hogs(CME) as of Dec 31, 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	Jun
Tested Years		39	40	40	40	41	41	41	41	41	41	41
Closed Higher		14	22	23	30	20	29	19	23	29	19	18
Exceeded High		12	17	19	26	19	24	17	22	22	13	11
Scenario Percentage		86%	77%	83%	87%	95%	83%	89%	96%	76%	68%	61%
Avg Max Increase		6.33%	6.47%	6.66%	6.48%	8.32%	8.13%	9.24%	9.30%	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	18	17	14	18	18	18	19	8	9
Avg Max Decline		-1.58%	-1.68%	-1.78%	-2.83%	-1.20%	-2.19%	-1.80%	-1.64%	-2.30%	-1.42%	-0.86%
Max Decline		-3.23%	-3.96%	-5.04%	-8.98%	-5.15%	-7.88%	-5.44%	-7.20%	-7.12%	-5.06%	-4.18%
Avg Days to Max Decline		8	15	8	12	7	10	7	7	13	4	3
2010 Contract Condition			Yes	Yes	Yes			Yes	Yes	Yes
Action			Yes	Yes	Yes			Yes	Yes	No

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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	Jun
Tested Years		39	40	40	40	41	41	41	41	41	41	41
Closed Lower		24	18	17	10	20	12	22	18	12	22	23
Penetrated Low		13	16	12	6	15	8	15	15	12	17	13
Scenario Percentage		54%	89%	71%	60%	75%	67%	68%	83%	100%	77%	57%
Avg Max Decline		6.39%	5.14%	4.42%	7.06%	4.89%	7.13%	10.50%	9.04%	9.73%	8.28%	4.26%
Max Decline		17.32%	14.41%	10.96%	14.73%	11.62%	20.65%	24.29%	29.39%	32.27%	27.57%	13.31%
Avg Days To Max Decline		16	19	17	12	13	19	14	17	20	13	8
Avg Max Increase		-2.20%	-2.59%	-3.05%	-0.97%	-2.67%	-2.05%	-1.75%	-2.37%	-3.65%	-2.07%	-0.39%
Max Increase		-8.66%	-6.72%	-10.10%	-2.36%	-7.12%	-6.15%	-7.93%	-6.77%	-11.23%	-5.60%	-3.86%
Avg Days to Max Increase		10	8	10	2	13	20	8	8	10	6	3
2010 Contract Condition		Yes				Yes	Yes				Yes	Yes
Action		No				Yes	Yes				Yes	Not Yet
High	75.000	70.775	71.700	74.750	76.750	77.450	79.675	80.500	84.550	87.950	87.500	83.300
Low	68.750	62.725	67.800	68.700	74.000	75.050	75.100	73.300	78.300	83.700	80.575	77.425
Close/Last	70.500	68.250	71.125	74.350	76.600	76.100	75.650	80.475	83.850	86.225	82.600	79.225