MRCI's ScenarioSM Study

ScenarioSM Study for December Lean Hogs(CME) as of Jan 01, 2010
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	38	39	40	40	40	40	40	40	41	41	41
Closed Higher	25	14	24	24	20	16	23	15	25	12	29
Exceeded High	19	11	21	17	16	12	18	13	23	10	15
Scenario Percentage	76%	79%	88%	71%	80%	75%	78%	87%	92%	83%	52%
Avg Max Increase	8.05%	9.66%	7.48%	7.45%	11.13%	12.65%	8.49%	9.01%	8.78%	9.93%	4.83%
Max Increase	29.22%	24.55%	19.08%	25.45%	46.98%	33.60%	33.21%	19.37%	21.17%	15.99%	9.68%
Avg Days To Max Increase	20	20	18	17	17	19	16	13	17	14	8
Avg Max Decline	-2.40%	-1.92%	-1.59%	-1.95%	-2.55%	-1.97%	-3.73%	-2.52%	-2.63%	-2.05%	-0.72%
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	15	7	8	8	13	8	13	9	7	6	1
2009 Contract Condition					Yes				Yes	Yes	Yes
Action					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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	38	39	40	40	40	40	40	40	41	41	41
Closed Lower	12	25	16	16	20	24	17	24	16	28	12
Penetrated Low	10	17	13	13	18	19	15	14	15	19	8
Scenario Percentage	83%	68%	81%	81%	90%	79%	88%	58%	94%	68%	67%
Avg Max Decline	5.28%	6.89%	9.96%	9.05%	11.54%	10.51%	7.96%	12.94%	10.07%	8.21%	16.25%
Max Decline	12.04%	19.90%	34.58%	31.77%	31.38%	24.36%	19.07%	22.35%	18.63%	44.65%	47.59%
Avg Days To Max Decline	16	16	18	21	18	20	15	20	15	10	10
Avg Max Increase	-0.92%	-1.81%	-1.66%	-3.22%	-2.40%	-2.36%	-3.02%	-2.66%	-3.03%	-1.18%	-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	8	9	10	17	9	14	7	10	7	4	2
2009 Contract Condition	Yes	Yes	Yes	Yes		Yes	Yes	Yes
Action	Yes	Yes	Yes	Yes		Yes	Yes	No
High	69.500	67.400	68.450	66.600	66.100	64.675	59.225	53.425	53.100	57.650	60.100
Low	63.800	61.800	64.800	60.100	61.625	54.350	51.300	43.075	46.150	47.400	54.275
Close/Last	66.200	65.850	65.600	62.675	62.850	55.700	53.225	46.225	49.600	56.700	58.600