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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lean Hogs(CME) as of May 16, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 26 29 33 22 31 23 23 27 19 21
Exceeded High   19 23 24 27 19 27 19 20 20 14 14
Scenario Percentage   86% 88% 83% 82% 86% 87% 83% 87% 74% 74% 67%
Avg Max Increase   5.63% 5.95% 5.51% 5.29% 7.64% 8.09% 10.38% 8.57% 9.34% 8.39% 4.38%
Max Increase   10.46% 13.33% 13.16% 17.17% 22.94% 24.71% 30.88% 20.93% 30.49% 30.02% 10.69%
Avg Days To Max Increase   15 23 20 18 17 19 19 17 18 5 6
Avg Max Decline   -1.93% -1.81% -1.95% -2.85% -1.04% -2.11% -1.95% -2.10% -2.41% -1.44% -0.90%
Max Decline   -6.32% -6.77% -5.05% -8.98% -3.43% -7.89% -5.54% -7.21% -7.13% -3.75% -4.18%
Avg Days to Max Decline   11 12 10 12 7 10 7 8 13 3 2
2024 Contract Condition   Yes         Yes Yes Yes Yes    
Action   Yes         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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 19 16 12 23 14 22 22 18 26 24
Penetrated Low   11 16 9 8 16 13 18 18 16 18 13
Scenario Percentage   50% 84% 56% 67% 70% 93% 82% 82% 89% 69% 54%
Avg Max Decline   4.91% 4.09% 3.78% 6.53% 5.60% 9.00% 10.50% 9.45% 9.73% 9.02% 4.01%
Max Decline   15.27% 12.12% 6.64% 14.74% 14.26% 20.65% 24.28% 24.29% 25.65% 27.57% 10.41%
Avg Days To Max Decline   14 16 15 16 14 21 16 14 20 12 7
Avg Max Increase   -2.55% -2.65% -1.59% -1.80% -2.42% -2.75% -1.72% -1.50% -3.46% -1.74% -0.55%
Max Increase   -6.67% -6.72% -3.32% -5.87% -7.12% -8.90% -7.94% -6.31% -11.23% -5.60% -3.86%
Avg Days to Max Increase   13 8 12 8 12 19 8 6 8 6 4
2024 Contract Condition     Yes Yes Yes Yes         Yes  
Action     Yes No Yes Yes            
High 96.350 96.000 97.600 96.830 96.900 95.500 98.680 101.950 105.600 111.250 106.380  
Low 93.230 91.980 94.330 90.900 91.850 91.680 89.880 95.480 101.030 102.550 99.480  
Close/Last 95.480 95.750 95.230 95.180 94.580 91.950 98.400 101.480 104.000 105.430 101.630  

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