MRCI's ScenarioSM Study

ScenarioSM Study for October 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		40	41	42	43	43	43	43	43	43	43	44
Closed Higher		27	23	28	18	25	28	20	19	24	20	30
Exceeded High		23	19	23	16	21	19	18	15	22	17	17
Scenario Percentage		85%	83%	82%	89%	84%	68%	90%	79%	92%	85%	57%
Avg Max Increase		5.48%	7.22%	8.07%	8.68%	7.46%	9.00%	10.32%	11.97%	8.45%	8.54%	4.71%
Max Increase		13.88%	22.09%	30.19%	23.22%	18.19%	25.89%	44.70%	33.79%	32.64%	18.10%	13.06%
Avg Days To Max Increase		18	11	20	17	18	18	18	17	15	10	7
Avg Max Decline		-2.96%	-1.05%	-2.43%	-2.28%	-1.97%	-1.55%	-2.80%	-2.69%	-3.65%	-1.81%	-0.55%
Max Decline		-9.45%	-5.79%	-6.89%	-5.75%	-9.70%	-6.61%	-14.68%	-6.03%	-13.13%	-10.53%	-2.51%
Avg Days to Max Decline		12	5	11	11	7	6	10	11	9	3	2
2012 Contract Condition		Yes		Yes	Yes			Yes	Yes			Yes
Action		Yes		Yes	No			Yes	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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		40	41	42	43	43	43	43	43	43	43	44
Closed Lower		13	18	14	23	18	15	23	24	18	23	14
Penetrated Low		10	13	10	16	14	14	20	19	12	14	10
Scenario Percentage		77%	72%	71%	70%	78%	93%	87%	79%	67%	61%	71%
Avg Max Decline		4.53%	4.83%	4.37%	10.06%	9.51%	9.33%	9.98%	11.44%	10.44%	6.97%	3.40%
Max Decline		11.67%	10.59%	7.31%	27.61%	34.99%	34.02%	27.95%	24.81%	20.13%	22.06%	6.88%
Avg Days To Max Decline		14	17	15	16	18	20	15	21	17	7	6
Avg Max Increase		-1.46%	-2.42%	-2.03%	-1.94%	-2.01%	-3.32%	-2.52%	-3.67%	-2.85%	-0.69%	-1.32%
Max Increase		-9.88%	-5.98%	-7.02%	-7.24%	-4.52%	-10.33%	-8.27%	-13.39%	-9.42%	-2.89%	-3.25%
Avg Days to Max Increase		3	15	11	7	9	18	9	13	7	4	2
2012 Contract Condition			Yes			Yes	Yes			Yes	Yes
Action			No			Yes	Yes			Yes	Yes
High	86.400	86.850	86.100	88.050	90.000	89.980	86.385	83.135	83.885	84.300	80.600	77.450
Low	83.000	84.000	80.350	83.650	87.750	81.900	79.780	78.450	79.030	77.335	72.085	70.385
Close/Last	85.300	86.300	83.850	88.030	88.900	82.900	80.400	82.885	82.950	80.300	74.180	77.180