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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 Dec 27, 2023
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   30 27 31 22 24 28 20 18 25 20 29
Exceeded High   24 23 26 16 19 17 19 15 22 18 16
Scenario Percentage   80% 85% 84% 73% 79% 61% 95% 83% 88% 90% 55%
Avg Max Increase   5.01% 6.30% 6.81% 9.28% 7.21% 8.02% 7.75% 7.78% 8.60% 9.55% 5.66%
Max Increase   10.73% 15.60% 22.94% 38.12% 17.76% 25.89% 34.93% 16.01% 48.00% 46.04% 13.06%
Avg Days To Max Increase   18 14 20 21 18 18 16 12 14 10 8
Avg Max Decline   -2.41% -0.99% -1.86% -2.23% -2.21% -1.66% -2.64% -2.09% -3.42% -2.19% -0.35%
Max Decline   -6.89% -4.45% -5.61% -5.30% -9.70% -4.32% -14.68% -6.03% -13.12% -10.55% -2.67%
Avg Days to Max Decline   11 7 9 11 6 11 8 10 9 4 2
2023 Contract Condition     Yes   Yes       Yes Yes    
Action     Yes   No       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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 18 14 22 21 16 25 27 20 25 16
Penetrated Low   11 14 11 16 16 15 22 21 13 14 12
Scenario Percentage   73% 78% 79% 73% 76% 94% 88% 78% 65% 56% 75%
Avg Max Decline   4.24% 5.04% 7.38% 9.07% 8.38% 7.93% 10.74% 11.76% 12.00% 5.94% 3.35%
Max Decline   11.76% 11.81% 19.69% 19.89% 21.34% 18.67% 27.95% 24.81% 20.13% 14.47% 7.56%
Avg Days To Max Decline   14 18 17 17 17 21 17 19 17 8 6
Avg Max Increase   -0.71% -2.19% -2.00% -2.09% -1.79% -3.24% -2.93% -4.08% -3.39% -1.96% -1.21%
Max Increase   -2.27% -5.98% -8.29% -7.24% -4.63% -10.32% -9.65% -15.71% -9.42% -6.47% -3.25%
Avg Days to Max Increase   7 16 12 7 8 19 9 12 8 6 2
2023 Contract Condition   Yes   Yes   Yes Yes Yes     Yes Yes
Action   No   Yes   Yes Yes No     Not Yet Yes
High 89.830 91.430 93.380 93.350 93.750 92.250 86.400 84.250 82.100 86.250 86.750 86.130
Low 82.930 88.200 88.730 89.130 89.230 80.380 79.950 68.630 72.750 77.800 77.750 80.200
Close/Last 89.780 89.630 93.280 91.530 92.380 84.900 84.380 75.200 78.380 86.000 82.550 80.200

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