MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	36	37	38	38	38	38	38	38	39	39	39
Closed Higher	24	14	24	23	18	16	22	15	24	11	27
Exceeded High	18	11	21	16	15	12	17	13	22	9	14
Scenario Percentage	75%	79%	88%	70%	83%	75%	77%	87%	92%	82%	52%
Avg Max Increase	8.32%	9.66%	7.48%	7.52%	11.46%	12.65%	8.90%	9.01%	8.22%	9.59%	4.50%
Max Increase	29.22%	24.55%	19.08%	25.45%	46.98%	33.60%	33.21%	19.37%	16.97%	15.99%	9.68%
Avg Days To Max Increase	21	20	18	17	17	19	17	13	17	14	8
Avg Max Decline	-2.53%	-1.92%	-1.59%	-1.95%	-2.60%	-1.97%	-3.90%	-2.52%	-2.55%	-1.80%	-0.77%
Max Decline	-6.89%	-6.79%	-8.67%	-7.43%	-8.24%	-6.28%	-6.72%	-8.87%	-10.12%	-4.42%	-2.09%
Avg Days to Max Decline	16	7	8	9	14	8	13	9	7	6	1
2007 Contract Condition	Yes	Yes		Yes			Yes				Yes
Action	Yes	Yes		No			Yes				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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	36	37	38	38	38	38	38	38	39	39	39
Closed Lower	11	23	14	15	20	22	16	22	15	27	12
Penetrated Low	9	15	11	12	18	17	14	13	14	18	8
Scenario Percentage	82%	65%	79%	80%	90%	77%	88%	59%	93%	67%	67%
Avg Max Decline	5.13%	6.68%	10.86%	8.70%	11.54%	10.12%	7.16%	12.29%	9.65%	8.58%	16.25%
Max Decline	12.04%	19.90%	34.58%	31.77%	31.38%	24.36%	16.90%	22.35%	18.63%	44.65%	47.59%
Avg Days To Max Decline	15	16	18	20	18	20	15	20	16	11	10
Avg Max Increase	-0.82%	-1.51%	-1.82%	-3.03%	-2.40%	-1.89%	-3.21%	-2.75%	-3.19%	-1.21%	-1.68%
Max Increase	-3.18%	-6.21%	-3.69%	-9.21%	-7.09%	-11.01%	-7.27%	-9.81%	-13.85%	-5.67%	-4.64%
Avg Days to Max Increase	7	9	11	17	9	13	7	10	7	4	2
2007 Contract Condition			Yes		Yes	Yes		Yes	Yes	Yes
Action			Yes		Yes	Yes		Yes	Yes	Yes
High	64.600	68.950	69.950	67.400	65.700	67.000	73.000	74.700	69.700	61.550	56.150
Low	61.000	64.300	64.100	64.500	62.700	61.200	60.950	64.675	61.650	53.450	50.650
Close/Last	64.450	68.325	65.000	65.725	64.825	61.425	72.900	68.825	62.250	53.875	54.900