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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   40 42 42 43 44 44 44 44 44 44 44
Closed Higher   24 27 22 22 27 17 28 22 34 14 26
Exceeded High   20 20 17 16 20 13 23 18 26 9 19
Scenario Percentage   83% 74% 77% 73% 74% 76% 82% 82% 76% 64% 73%
Avg Max Increase   6.38% 6.57% 9.34% 10.53% 7.64% 9.77% 8.94% 8.94% 7.96% 10.14% 4.45%
Max Increase   20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 19.64% 21.15% 24.91% 17.74% 12.03%
Avg Days To Max Increase   16 16 21 19 16 18 19 16 17 19 8
Avg Max Decline   -1.28% -1.81% -3.03% -1.61% -3.34% -2.39% -2.41% -2.20% -3.02% -2.55% -0.53%
Max Decline   -6.86% -6.80% -13.45% -5.74% -7.58% -5.21% -7.32% -10.34% -7.69% -5.97% -2.10%
Avg Days to Max Decline   6 10 12 8 9 9 7 8 9 4 2
2013 Contract Condition       Yes Yes Yes     Yes Yes   Yes
Action       Yes Yes No     Yes No   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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   40 42 42 43 44 44 44 44 44 44 44
Closed Lower   15 15 19 21 17 27 16 21 10 30 17
Penetrated Low   9 13 16 16 15 16 13 16 9 16 12
Scenario Percentage   60% 87% 84% 76% 88% 59% 81% 76% 90% 53% 71%
Avg Max Decline   10.25% 7.26% 10.61% 9.73% 6.99% 8.77% 8.54% 5.23% 9.49% 7.71% 4.94%
Max Decline   31.51% 27.40% 27.67% 20.29% 16.96% 20.45% 17.50% 9.50% 28.71% 16.93% 10.85%
Avg Days To Max Decline   18 18 19 16 14 16 14 16 18 11 9
Avg Max Increase   -2.06% -2.36% -2.59% -1.79% -2.21% -2.56% -2.78% -3.69% -2.72% -2.51% -0.98%
Max Increase   -4.58% -6.92% -6.74% -7.74% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -3.28%
Avg Days to Max Increase   11 9 8 11 7 8 13 16 7 6 2
2013 Contract Condition   Yes Yes       Yes Yes     Yes  
Action   Yes Yes       Yes No     Not Yet  
High 86.750 86.500 84.500 81.725 82.885 86.250 84.700 81.700 86.050 88.250 87.800 87.900
Low 84.600 79.930 79.100 77.850 79.725 79.800 77.700 76.885 80.500 82.585 83.200 84.135
Close/Last 85.750 80.800 79.900 81.700 82.700 84.650 80.335 80.250 84.480 86.930 85.730 87.600

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