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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Lean Hogs(CME) as of Nov 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 29 24 24 26 19 28 24 33 15 26
Exceeded High   21 23 19 17 19 15 23 19 24 10 18
Scenario Percentage   84% 79% 79% 71% 73% 79% 82% 79% 73% 67% 69%
Avg Max Increase   6.23% 6.36% 9.01% 10.46% 7.73% 8.76% 8.67% 9.62% 7.90% 9.82% 4.31%
Max Increase   20.61% 24.74% 44.63% 33.46% 25.43% 15.90% 19.63% 21.87% 25.48% 17.73% 11.94%
Avg Days To Max Increase   15 16 22 19 16 17 19 17 16 19 8
Avg Max Decline   -1.30% -1.68% -2.98% -1.47% -3.30% -2.39% -2.38% -2.32% -2.87% -3.03% -0.65%
Max Decline   -6.87% -6.81% -13.44% -5.74% -7.59% -5.20% -7.32% -10.34% -7.69% -5.96% -2.10%
Avg Days to Max Decline   5 9 14 7 9 9 6 7 7 5 2
2018 Contract Condition     Yes Yes Yes     Yes Yes      
Action     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 16 20 20 19 26 17 21 12 30 18
Penetrated Low   9 14 17 15 16 16 14 17 10 17 13
Scenario Percentage   50% 88% 85% 75% 84% 62% 82% 81% 83% 57% 72%
Avg Max Decline   10.25% 6.92% 10.67% 9.95% 7.84% 8.77% 7.26% 6.16% 9.21% 8.58% 5.28%
Max Decline   31.50% 27.41% 27.67% 20.29% 17.84% 20.45% 14.37% 13.98% 28.71% 24.75% 10.85%
Avg Days To Max Decline   18 18 19 16 15 16 12 15 17 10 9
Avg Max Increase   -2.05% -2.23% -2.74% -1.87% -2.52% -2.56% -3.23% -3.56% -2.49% -2.45% -0.97%
Max Increase   -4.58% -6.92% -6.73% -7.73% -6.58% -7.87% -6.77% -13.93% -9.20% -10.11% -3.28%
Avg Days to Max Increase   11 9 9 10 8 8 12 13 7 5 2
2018 Contract Condition   Yes       Yes Yes     Yes    
Action   Yes       Yes No     Not Yet    
High 66.900 66.970 66.180 66.950 67.100 69.000 68.930 66.100 73.180 73.300    
Low 63.480 63.030 62.830 65.130 64.000 65.400 60.550 61.500 64.900 66.250    
Close/Last 65.180 63.850 66.000 66.180 66.880 65.600 62.650 65.050 73.000 69.780    

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