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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Lean Hogs(CME) as of Jan 21, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 20 20 20 20 20 20 20 20 20 20
Closed Higher   11 10 12 13 12 16 8 12 9 10 12
Exceeded High   8 8 11 12 9 12 7 11 8 8 11
Scenario Percentage   73% 80% 92% 92% 75% 75% 88% 92% 89% 80% 92%
Avg Max Increase   6.54% 4.24% 5.14% 6.09% 5.06% 4.25% 7.11% 8.09% 10.76% 8.58% 5.31%
Max Increase   17.80% 7.45% 12.16% 16.19% 15.30% 14.81% 19.94% 25.75% 25.77% 20.55% 16.61%
Avg Days To Max Increase   15 21 15 21 22 21 18 17 18 7 8
Avg Max Decline   -0.24% -2.43% -1.73% -2.18% -2.53% -4.28% -2.12% -2.07% -1.71% -2.71% -0.37%
Max Decline   -1.51% -3.35% -5.91% -5.45% -4.33% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 13 7 12 16 13 12 7 6 2
2021 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes Yes Yes
Action   No   Yes Yes   Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 20 20 20 20 20 20 20 20 20 20
Closed Lower   8 10 8 7 8 4 11 8 11 10 8
Penetrated Low   5 9 3 3 5 2 8 8 10 8 6
Scenario Percentage   63% 90% 38% 43% 63% 50% 73% 100% 91% 80% 75%
Avg Max Decline   8.13% 5.99% 6.79% 5.22% 6.29% 11.00% 9.74% 11.73% 16.55% 13.98% 4.84%
Max Decline   17.13% 12.24% 13.95% 10.95% 9.21% 13.69% 16.91% 25.10% 49.25% 33.88% 6.09%
Avg Days To Max Decline   11 14 14 18 16 28 13 22 16 8 6
Avg Max Increase   -3.52% -1.41% -1.39% -2.79% -3.50% -3.52% -1.16% -2.79% -1.82% -0.59% -0.45%
Max Increase   -6.90% -4.75% -3.18% -4.93% -6.36% -6.58% -3.47% -8.60% -4.30% -2.80% -1.84%
Avg Days to Max Increase   18 8 6 3 18 16 5 15 11 3 1
2021 Contract Condition     Yes     Yes            
Action     Yes     Yes            
High 74.600 72.980 72.280 71.500 77.050 79.500 76.150 77.080 82.000 92.030 101.830 111.780
Low 68.150 66.450 69.430 68.850 71.200 72.200 71.400 72.750 76.050 80.080 87.450 101.080
Close/Last 70.030 71.380 69.880 70.880 76.750 73.080 75.950 76.730 80.980 88.880 101.500 110.130

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