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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Lean Hogs(CME) as of Jul 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Higher   30 25 30 19 26 30 22 22 24 23 30
Exceeded High   24 21 25 17 22 21 20 17 22 20 17
Scenario Percentage   80% 84% 83% 89% 85% 70% 91% 77% 92% 87% 57%
Avg Max Increase   5.45% 7.41% 8.16% 9.03% 7.26% 8.69% 10.07% 10.97% 8.45% 8.39% 5.02%
Max Increase   13.88% 22.09% 30.19% 23.22% 18.19% 25.89% 44.70% 33.80% 32.65% 20.46% 13.06%
Avg Days To Max Increase   18 12 20 19 18 18 18 16 15 10 8
Avg Max Decline   -2.86% -1.02% -2.22% -2.24% -2.25% -1.75% -2.60% -2.58% -3.65% -1.73% -0.72%
Max Decline   -9.44% -5.80% -6.89% -5.74% -9.70% -6.60% -14.68% -6.03% -13.12% -10.55% -2.67%
Avg Days to Max Decline   12 5 10 10 7 7 9 11 9 3 2
2017 Contract Condition     Yes Yes Yes   Yes Yes Yes      
Action     Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Lower   14 19 15 25 19 14 23 23 21 22 15
Penetrated Low   10 14 11 18 13 13 20 18 13 14 11
Scenario Percentage   71% 74% 73% 72% 68% 93% 87% 78% 62% 64% 73%
Avg Max Decline   4.52% 5.54% 5.03% 9.81% 9.47% 9.11% 10.42% 11.59% 11.41% 6.97% 3.55%
Max Decline   11.67% 11.81% 11.68% 27.61% 35.00% 34.02% 27.95% 24.81% 20.13% 22.06% 7.56%
Avg Days To Max Decline   14 18 16 17 17 20 16 20 17 8 7
Avg Max Increase   -1.46% -2.33% -1.92% -1.83% -2.03% -3.46% -2.88% -3.77% -3.21% -0.93% -1.35%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.52% -10.32% -9.65% -13.39% -9.42% -6.01% -3.25%
Avg Days to Max Increase   3 16 10 6 9 19 10 12 8 4 2
2017 Contract Condition   Yes       Yes       Yes    
Action   Yes       Yes       Not Yet    
High 63.500 63.900 66.750 67.130 68.950 68.830 66.750 68.720 70.470 72.250    
Low 57.350 61.800 61.700 64.680 65.500 64.080 62.430 66.130 65.530 65.800    
Close/Last 63.500 62.100 65.470 67.000 67.380 64.780 66.650 68.430 70.450 66.030    

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