MRCI's ScenarioSM Study

ScenarioSM Study for August Lean Hogs(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	37	37	37	37	38	38	38	38	38	38	38
Closed Higher	23	23	26	22	25	19	22	28	17	19	21
Exceeded High	17	20	21	21	21	16	20	21	13	14	15
Scenario Percentage	74%	87%	81%	95%	84%	84%	91%	75%	76%	74%	71%
Avg Max Increase	5.78%	7.41%	6.80%	7.37%	9.07%	10.95%	9.93%	9.50%	12.38%	10.66%	5.82%
Max Increase	15.72%	17.67%	22.84%	28.20%	29.21%	23.29%	17.33%	29.29%	42.67%	46.56%	13.41%
Avg Days To Max Increase	20	18	17	17	19	17	21	21	15	12	10
Avg Max Decline	-1.51%	-1.75%	-2.10%	-1.30%	-2.41%	-1.70%	-1.75%	-2.50%	-2.37%	-2.88%	-0.76%
Max Decline	-4.06%	-4.26%	-8.50%	-5.82%	-7.71%	-4.71%	-8.47%	-7.54%	-9.21%	-5.81%	-2.58%
Avg Days to Max Decline	15	10	9	9	12	7	7	11	8	9	2
2007 Contract Condition		Yes	Yes		Yes	Yes		Yes			Yes
Action		Yes	Yes		Yes	Yes		No			Not Yet

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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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	37	37	37	37	38	38	38	38	38	38	38
Closed Lower	13	14	11	15	12	18	16	10	20	19	17
Penetrated Low	11	10	8	11	8	13	12	10	18	14	12
Scenario Percentage	85%	71%	73%	73%	67%	72%	75%	100%	90%	74%	71%
Avg Max Decline	3.06%	5.76%	5.30%	4.49%	6.75%	10.64%	10.14%	9.94%	8.43%	6.79%	12.60%
Max Decline	7.05%	11.88%	12.76%	11.56%	19.33%	24.72%	34.26%	35.00%	23.66%	13.34%	27.30%
Avg Days To Max Decline	16	17	11	12	18	17	19	18	15	10	13
Avg Max Increase	-2.81%	-3.97%	-0.84%	-2.38%	-1.38%	-1.72%	-2.46%	-3.07%	-3.33%	-2.01%	-2.48%
Max Increase	-6.83%	-12.46%	-2.55%	-5.92%	-4.28%	-7.90%	-5.83%	-5.19%	-10.08%	-11.54%	-5.18%
Avg Days to Max Increase	12	12	2	14	11	5	8	11	11	7	6
2007 Contract Condition	Yes			Yes			Yes		Yes	Yes
Action	No			Yes			Yes		Yes	Yes
High	63.400	69.500	71.900	71.900	74.500	77.250	78.500	78.100	75.500	76.000	75.975
Low	61.500	62.250	67.700	69.300	68.200	73.575	73.000	74.050	72.450	70.550	69.600
Close/Last	62.500	69.100	71.800	70.675	74.500	76.875	74.225	75.200	74.050	70.675	73.325