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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Lean Hogs(CME) as of Dec 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 23 24 16 25 25 30 21 27 16 21
Exceeded High   18 12 18 13 20 21 24 16 22 14 13
Scenario Percentage   82% 52% 75% 81% 80% 84% 80% 76% 81% 88% 62%
Avg Max Increase   9.85% 11.98% 8.05% 7.92% 7.74% 8.65% 6.61% 9.61% 9.61% 9.83% 5.54%
Max Increase   48.25% 35.05% 22.84% 13.02% 15.02% 19.25% 21.99% 28.25% 34.28% 20.52% 11.10%
Avg Days To Max Increase   22 17 18 14 21 18 18 18 16 12 7
Avg Max Decline   -2.05% -1.13% -3.57% -2.38% -2.09% -1.77% -3.19% -1.97% -2.62% -1.78% -0.82%
Max Decline   -7.98% -8.14% -7.45% -4.97% -5.28% -7.70% -7.66% -3.97% -8.38% -4.81% -1.85%
Avg Days to Max Decline   9 8 10 10 9 9 11 8 8 6 2
2018 Contract Condition     Yes     Yes Yes          
Action     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 22 21 28 19 20 15 24 18 29 24
Penetrated Low   18 14 18 17 15 17 10 15 15 24 12
Scenario Percentage   86% 64% 86% 61% 79% 85% 67% 63% 83% 83% 50%
Avg Max Decline   9.68% 9.50% 7.48% 7.35% 5.94% 5.45% 8.18% 9.90% 10.70% 9.66% 5.63%
Max Decline   23.15% 18.77% 17.38% 18.94% 10.97% 12.16% 20.96% 24.08% 24.53% 32.36% 21.30%
Avg Days To Max Decline   19 15 16 16 15 17 13 18 21 11 7
Avg Max Increase   -2.50% -1.84% -2.16% -2.46% -3.29% -3.70% -1.58% -2.89% -1.69% -1.44% -0.84%
Max Increase   -8.69% -6.76% -7.07% -11.24% -7.40% -15.60% -4.46% -6.34% -5.17% -5.44% -2.50%
Avg Days to Max Increase   8 8 7 10 10 13 3 10 13 3 2
2018 Contract Condition   Yes   Yes Yes     Yes Yes      
Action   Yes   Yes No     Not Yet        
High 69.600 70.150 70.900 72.200 71.830 70.630 75.280 75.900 75.530      
Low 66.130 68.650 67.750 69.470 65.030 66.700 69.830 70.630 70.980      
Close/Last 69.500 69.430 70.580 69.720 67.150 69.850 74.900 73.850 72.800      

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Seasonal AVERAGE charts for both Live Cattle & Lean Hogs. Being able to see at what average spread different
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