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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 01, 2016
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   13 14 14 14 14 14 14 14 14 14 14
Closed Higher   8 9 8 8 9 13 3 9 7 7 8
Exceeded High   7 8 8 7 6 10 3 8 6 6 8
Scenario Percentage   88% 89% 100% 88% 67% 77% 100% 89% 86% 86% 100%
Avg Max Increase   7.10% 4.23% 4.59% 7.75% 5.73% 4.03% 5.95% 7.00% 9.42% 7.25% 4.88%
Max Increase   17.80% 7.45% 11.14% 16.19% 15.29% 14.81% 10.89% 24.18% 20.78% 20.55% 11.59%
Avg Days To Max Increase   16 21 14 26 22 21 17 16 16 8 8
Avg Max Decline   -0.29% -2.43% -1.87% -2.38% -1.95% -4.35% -3.10% -2.12% -1.88% -3.03% -0.80%
Max Decline   -1.50% -3.35% -5.91% -5.45% -3.84% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 10 8 7 17 14 15 8 6 2
2015 Contract Condition   Yes   Yes     Yes         Yes
Action   Yes   Yes     No         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   13 14 14 14 14 14 14 14 14 14 14
Closed Lower   5 5 6 6 5 1 10 5 7 7 6
Penetrated Low   3 5 3 3 2 1 7 5 7 5 6
Scenario Percentage   60% 100% 50% 50% 40% 100% 70% 100% 100% 71% 100%
Avg Max Decline   7.31% 5.91% 6.79% 5.22% 5.63% 8.32% 9.05% 8.90% 11.44% 11.00% 4.83%
Max Decline   17.13% 12.24% 13.95% 10.95% 6.86% 8.32% 16.91% 18.96% 19.48% 27.76% 6.09%
Avg Days To Max Decline   14 14 14 18 22 26 12 19 18 6 6
Avg Max Increase   -3.20% -1.16% -1.39% -2.79% -4.82% -0.45% -1.05% -1.43% -1.42% -1.21% -0.45%
Max Increase   -6.90% -4.75% -3.18% -4.93% -6.36% -0.45% -3.47% -4.41% -4.13% -2.80% -1.85%
Avg Days to Max Increase   21 8 6 3 32 1 6 19 12 4 1
2015 Contract Condition     Yes   Yes Yes   Yes Yes Yes Yes  
Action     Yes   No Yes   Yes Yes Yes Not Yet  
High 93.250 93.800 96.000 93.750 93.750 93.900 96.150 94.500 88.730 81.930 81.000 77.780
Low 90.250 89.650 89.030 87.500 87.500 87.500 89.385 84.200 76.725 73.350 65.200 67.100
Close/Last 91.800 93.200 89.500 93.000 90.500 90.400 94.000 88.280 80.450 79.900 68.725 76.950

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