MRCI's ScenarioSM Study

ScenarioSM Study for July Lean Hogs(CME) as of Jan 01, 2013
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		41	42	42	42	43	43	43	43	43	43	43
Closed Higher		15	24	24	32	21	31	20	24	29	20	20
Exceeded High		13	19	20	27	20	26	18	23	22	14	12
Scenario Percentage		87%	79%	83%	84%	95%	84%	90%	96%	76%	70%	60%
Avg Max Increase		6.37%	6.22%	6.79%	6.67%	8.46%	7.79%	8.96%	8.91%	8.90%	9.04%	5.36%
Max Increase		10.45%	13.34%	17.73%	21.48%	28.70%	25.16%	19.41%	20.92%	30.50%	30.02%	10.69%
Avg Days To Max Increase		15	23	19	18	15	19	17	18	19	8	8
Avg Max Decline		-1.56%	-1.73%	-1.72%	-2.76%	-1.21%	-2.20%	-2.00%	-1.62%	-2.30%	-1.36%	-0.87%
Max Decline		-3.23%	-3.96%	-5.04%	-8.98%	-5.15%	-7.88%	-5.53%	-7.20%	-7.12%	-5.06%	-4.18%
Avg Days to Max Decline		8	14	8	11	6	11	7	7	13	3	2
2012 Contract Condition			Yes		Yes		Yes	Yes			Yes	Yes
Action			Yes		No		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		41	42	42	42	43	43	43	43	43	43	43
Closed Lower		25	18	18	10	21	12	23	19	14	23	23
Penetrated Low		13	16	13	6	15	8	16	16	14	17	13
Scenario Percentage		52%	89%	72%	60%	71%	67%	70%	84%	100%	74%	57%
Avg Max Decline		6.39%	5.14%	4.59%	7.06%	4.89%	7.13%	10.61%	9.02%	9.28%	8.05%	3.92%
Max Decline		17.32%	14.41%	10.96%	14.73%	11.62%	20.65%	24.29%	29.39%	32.27%	27.57%	10.42%
Avg Days To Max Decline		16	19	17	12	13	19	15	16	19	13	7
Avg Max Increase		-2.20%	-2.59%	-2.93%	-0.97%	-2.67%	-2.05%	-1.76%	-2.44%	-3.25%	-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	11	2	13	20	8	8	8	6	3
2012 Contract Condition		Yes		Yes		Yes			Yes	Yes
Action		No		Yes		No			Yes	Yes
High	96.775	97.000	98.500	99.950	99.750	98.900	98.680	100.585	100.085	94.885	91.000	97.050
Low	92.250	92.900	94.250	96.875	95.650	91.700	94.300	97.750	90.300	86.150	83.700	90.385
Close/Last	96.550	95.250	98.400	98.225	99.225	94.835	98.600	99.100	91.650	86.250	91.000	96.635