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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 Mar 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   14 15 15 15 15 15 15 15 15 15 15
Closed Higher   8 9 9 9 9 13 4 10 8 8 9
Exceeded High   7 8 9 8 6 10 4 9 7 6 9
Scenario Percentage   88% 89% 100% 89% 67% 77% 100% 90% 88% 75% 100%
Avg Max Increase   7.09% 4.24% 4.51% 7.06% 5.73% 4.03% 5.79% 6.65% 8.61% 6.92% 3.81%
Max Increase   17.80% 7.45% 11.14% 16.19% 15.30% 14.81% 10.89% 24.18% 20.78% 18.62% 9.37%
Avg Days To Max Increase   16 21 13 25 22 21 19 16 16 7 6
Avg Max Decline   -0.29% -2.43% -1.74% -2.19% -1.94% -4.35% -2.77% -2.25% -1.73% -3.03% -0.75%
Max Decline   -1.51% -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 11 7 7 17 11 15 7 6 2
2017 Contract Condition   Yes   Yes   Yes   Yes Yes      
Action   No   No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   14 15 15 15 15 15 15 15 15 15 15
Closed Lower   6 6 6 6 6 2 10 5 7 7 6
Penetrated Low   3 6 3 3 3 1 7 5 7 5 6
Scenario Percentage   50% 100% 50% 50% 50% 50% 70% 100% 100% 71% 100%
Avg Max Decline   7.31% 5.43% 6.79% 5.22% 6.64% 8.32% 9.05% 8.89% 11.44% 11.00% 4.59%
Max Decline   17.13% 12.24% 13.95% 10.95% 8.68% 8.32% 16.91% 18.96% 19.48% 27.76% 6.09%
Avg Days To Max Decline   14 15 14 18 20 26 12 19 18 6 6
Avg Max Increase   -3.20% -1.24% -1.39% -2.79% -3.36% -0.46% -1.05% -1.43% -1.43% -1.21% -0.45%
Max Increase   -6.90% -4.75% -3.18% -4.93% -6.36% -0.46% -3.47% -4.42% -4.13% -2.80% -1.84%
Avg Days to Max Increase   21 7 6 3 22 1 6 19 12 4 1
2017 Contract Condition     Yes   Yes   Yes     Yes Yes  
Action     Yes   No   No     Yes Not Yet  
High 75.100 76.550 75.930 73.150 72.250 70.000 70.500 73.970 75.000 76.500 75.650  
Low 73.130 74.950 69.930 69.800 63.000 64.000 67.550 67.630 71.500 72.150 69.220  
Close/Last 74.480 75.630 69.930 71.750 63.000 69.930 68.950 72.900 73.970 73.950 69.850  

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