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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 Jan 01, 2019
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 29 25 24 26 18 28 24 32 15 26
Exceeded High   21 23 20 17 19 14 24 19 23 10 18
Scenario Percentage   84% 79% 80% 71% 73% 78% 86% 79% 72% 67% 69%
Avg Max Increase   6.23% 6.11% 8.77% 10.43% 7.73% 8.87% 8.84% 8.88% 7.43% 9.47% 4.30%
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 15 21 18 16 17 19 15 16 18 7
Avg Max Decline   -1.30% -1.61% -3.00% -1.19% -3.30% -2.54% -2.29% -2.40% -3.00% -3.14% -0.54%
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 10 14 5 9 10 6 7 8 5 2
2018 Contract Condition     Yes Yes Yes     Yes Yes   Yes Yes
Action     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 16 19 20 19 27 17 21 13 30 18
Penetrated Low   10 14 17 15 16 16 14 17 10 17 13
Scenario Percentage   53% 88% 89% 75% 84% 59% 82% 81% 77% 57% 72%
Avg Max Decline   9.38% 6.92% 10.67% 9.95% 8.24% 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   17 18 19 16 17 16 12 15 17 10 9
Avg Max Increase   -1.84% -2.23% -2.74% -1.87% -2.76% -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   10 9 9 10 9 8 12 13 7 5 2
2018 Contract Condition   Yes       Yes Yes     Yes    
Action   Yes       Yes No     No    
High 66.900 66.970 66.180 66.950 67.100 69.000 68.930 66.100 73.180 73.300 72.450 74.250
Low 63.480 63.030 62.830 65.130 64.000 65.400 60.550 61.500 64.900 66.250 66.250 70.200
Close/Last 65.180 63.850 66.000 66.180 66.880 65.600 62.650 65.050 73.000 69.780 71.780 73.230

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