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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Lean Hogs(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 21 28 27 33 22 31 22 23 26 25
Exceeded High   17 19 21 21 27 21 26 20 20 20 13
Scenario Percentage   77% 90% 75% 78% 82% 95% 84% 91% 87% 77% 52%
Avg Max Increase   7.15% 5.90% 6.11% 6.75% 6.41% 8.53% 8.75% 9.29% 10.37% 8.20% 5.40%
Max Increase   20.43% 11.31% 11.39% 18.27% 21.47% 29.73% 27.28% 19.19% 23.07% 17.35% 10.69%
Avg Days To Max Increase   17 12 22 16 19 17 19 16 18 13 11
Avg Max Decline   -2.91% -1.72% -1.87% -1.83% -2.90% -1.55% -2.75% -1.83% -2.05% -1.68% -0.60%
Max Decline   -7.45% -4.68% -7.00% -5.95% -8.69% -4.79% -7.58% -6.47% -8.16% -4.44% -2.21%
Avg Days to Max Decline   8 9 12 9 12 7 13 8 6 3 2
2017 Contract Condition     Yes   Yes   Yes Yes Yes   Yes Yes
Action     No   Yes   Yes Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 24 17 18 12 22 14 23 21 19 20
Penetrated Low   18 12 13 12 7 14 11 19 16 16 13
Scenario Percentage   82% 50% 76% 67% 58% 64% 79% 83% 76% 84% 65%
Avg Max Decline   5.92% 6.87% 5.17% 5.18% 7.37% 7.29% 8.68% 10.85% 10.33% 8.43% 5.36%
Max Decline   16.03% 18.42% 11.91% 8.87% 15.49% 15.89% 22.27% 25.20% 30.00% 28.53% 12.56%
Avg Days To Max Decline   15 15 18 17 14 15 20 17 15 12 6
Avg Max Increase   -1.71% -2.41% -2.63% -3.15% -1.68% -2.29% -1.49% -1.51% -2.33% -2.28% -0.57%
Max Increase   -5.42% -8.88% -5.64% -11.19% -6.85% -6.79% -6.58% -7.24% -6.95% -7.67% -4.70%
Avg Days to Max Increase   9 10 6 12 3 14 14 5 6 5 1
2017 Contract Condition   Yes   Yes   Yes       Yes    
Action   Yes   No   Yes       Yes    
High 80.050 79.450 77.180 76.280 73.800 74.830 78.000 79.000 80.350 79.380 74.600 82.680
Low 76.100 73.430 73.630 66.400 66.650 71.780 71.750 75.450 75.930 72.250 67.780 73.030
Close/Last 79.350 74.130 75.550 67.080 73.630 73.030 76.500 77.600 77.630 73.850 74.000 81.930

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