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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 20 29 26 34 22 31 21 24 26 25
Exceeded High   17 19 22 20 28 21 25 20 21 20 12
Scenario Percentage   77% 95% 76% 77% 82% 95% 81% 95% 88% 77% 48%
Avg Max Increase   7.15% 5.90% 6.02% 6.79% 6.85% 8.69% 8.96% 9.29% 10.17% 7.79% 5.75%
Max Increase   20.43% 11.31% 11.39% 18.27% 21.47% 29.73% 27.28% 19.19% 23.07% 17.35% 10.69%
Avg Days To Max Increase   17 12 22 16 19 18 19 16 18 13 11
Avg Max Decline   -2.91% -1.72% -1.86% -1.80% -2.82% -1.53% -2.82% -1.83% -2.07% -1.63% -0.50%
Max Decline   -7.45% -4.68% -7.00% -5.95% -8.69% -4.79% -7.58% -6.47% -8.16% -4.44% -2.21%
Avg Days to Max Decline   8 9 13 8 12 7 13 8 6 3 2
2017 Contract Condition     Yes   Yes   Yes Yes Yes      
Action     No   Yes   Yes Yes Not Yet      
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 25 16 19 11 22 14 24 20 19 20
Penetrated Low   18 12 13 13 6 14 11 19 15 16 13
Scenario Percentage   82% 48% 81% 68% 55% 64% 79% 79% 75% 84% 65%
Avg Max Decline   5.84% 6.87% 5.17% 4.87% 8.30% 7.29% 8.68% 10.85% 10.47% 8.43% 5.36%
Max Decline   16.03% 18.42% 11.91% 8.87% 15.49% 15.89% 22.27% 25.20% 30.00% 28.53% 12.56%
Avg Days To Max Decline   15 15 18 16 16 15 20 17 14 12 6
Avg Max Increase   -1.48% -2.41% -2.63% -2.92% -1.95% -2.29% -1.49% -1.51% -2.42% -2.28% -0.57%
Max Increase   -5.42% -8.88% -5.64% -11.19% -6.85% -6.79% -6.58% -7.24% -6.95% -7.67% -4.70%
Avg Days to Max Increase   8 10 6 11 3 14 14 5 6 5 1
2017 Contract Condition   Yes   Yes   Yes       Yes    
Action   Yes   No   Yes       Not Yet    
High 80.050 79.450 77.180 76.280 73.800 74.830 78.000 79.000 80.350 79.380    
Low 76.100 73.430 73.630 66.400 66.650 71.780 71.750 75.450 75.930 72.250    
Close/Last 79.350 74.130 75.550 67.080 73.630 73.030 76.500 77.600 77.630 73.850    

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