MRCI's ScenarioSM Study

ScenarioSM Study for December Lean Hogs(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		42	43	44	44	44	44	44	44	45	45	45
Closed Higher		28	17	26	25	22	20	25	16	29	14	32
Exceeded High		21	13	23	17	18	16	19	14	26	11	15
Scenario Percentage		75%	76%	88%	68%	82%	80%	76%	88%	90%	79%	47%
Avg Max Increase		7.88%	9.51%	7.19%	7.45%	10.26%	10.65%	8.22%	9.01%	8.75%	9.69%	4.44%
Max Increase		29.22%	24.56%	19.08%	25.45%	46.99%	33.60%	33.21%	19.37%	21.17%	15.99%	9.44%
Avg Days To Max Increase		20	19	18	17	17	17	16	14	18	12	7
Avg Max Decline		-2.25%	-2.23%	-1.53%	-1.95%	-2.55%	-1.86%	-3.80%	-2.36%	-2.44%	-2.05%	-0.65%
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		14	9	7	8	13	8	12	9	6	6	1
2013 Contract Condition		Yes				Yes	Yes		Yes	Yes	Yes
Action		No				Yes	Yes		Yes	Yes	Not Yet

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		42	43	44	44	44	44	44	44	45	45	45
Closed Lower		13	26	18	19	22	24	19	27	16	30	13
Penetrated Low		10	18	14	16	19	19	16	16	15	21	8
Scenario Percentage		77%	69%	78%	84%	86%	79%	84%	59%	94%	70%	62%
Avg Max Decline		5.28%	6.78%	9.57%	8.05%	11.17%	10.51%	8.10%	12.11%	10.07%	7.66%	8.50%
Max Decline		12.04%	19.90%	34.58%	31.77%	31.38%	24.36%	19.07%	22.35%	18.63%	44.65%	27.50%
Avg Days To Max Decline		16	16	17	20	18	20	14	20	15	10	8
Avg Max Increase		-0.92%	-1.76%	-1.86%	-2.72%	-2.35%	-2.36%	-2.86%	-2.76%	-3.03%	-1.17%	-1.23%
Max Increase		-3.18%	-6.21%	-4.56%	-9.21%	-7.09%	-11.01%	-7.26%	-9.82%	-13.85%	-5.66%	-4.64%
Avg Days to Max Increase		8	9	10	14	8	14	7	10	7	4	2
2013 Contract Condition			Yes	Yes	Yes			Yes				Yes
Action			Yes	No	Yes			No				Yes
High	84.950	83.900	83.900	80.250	80.050	81.000	83.700	83.480	84.800	89.000	92.300	89.500
Low	82.000	81.680	78.100	75.600	76.750	76.280	79.800	80.225	80.500	84.400	85.500	84.930
Close/Last	82.000	83.730	79.475	78.975	78.900	80.700	82.650	80.500	84.750	86.635	89.180	85.680