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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 Dec 30, 2016
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 29 25 23 26 18 29 23 33 15 26
Exceeded High   20 22 19 17 19 15 24 18 24 10 16
Scenario Percentage   83% 76% 76% 74% 73% 83% 83% 78% 73% 67% 62%
Avg Max Increase   6.38% 6.45% 9.01% 10.46% 7.73% 8.76% 8.59% 8.94% 7.87% 9.98% 3.85%
Max Increase   20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 19.64% 21.15% 24.91% 17.40% 10.59%
Avg Days To Max Increase   16 16 22 19 16 17 19 16 16 21 7
Avg Max Decline   -1.28% -1.66% -2.98% -1.47% -3.30% -2.39% -2.34% -2.20% -2.78% -2.58% -0.64%
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 9 14 7 9 9 7 8 7 4 2
2016 Contract Condition     Yes Yes     Yes Yes     Yes Yes
Action     Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 16 19 21 19 27 16 21 12 30 18
Penetrated Low   9 14 16 16 16 16 13 17 10 17 11
Scenario Percentage   50% 88% 84% 76% 84% 59% 81% 81% 83% 57% 61%
Avg Max Decline   10.25% 6.92% 10.61% 10.01% 7.02% 8.77% 7.60% 6.16% 9.22% 8.53% 5.47%
Max Decline   31.51% 27.40% 27.67% 20.29% 16.96% 20.45% 14.37% 13.98% 28.71% 24.75% 10.24%
Avg Days To Max Decline   18 18 19 16 14 16 13 15 17 11 8
Avg Max Increase   -2.06% -2.23% -2.59% -1.79% -2.23% -2.56% -3.06% -3.56% -2.49% -2.45% -0.65%
Max Increase   -4.58% -6.92% -6.74% -7.74% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -1.95%
Avg Days to Max Increase   11 9 8 9 7 8 13 13 7 5 2
2016 Contract Condition   Yes     Yes Yes     Yes Yes    
Action   No     Yes No     Yes No    
High 71.100 71.030 71.500 72.980 72.100 69.085 68.885 70.000 70.450 63.250 61.750 66.135
Low 66.085 64.000 68.530 70.450 63.300 62.750 62.850 65.930 62.400 53.980 54.950 58.085
Close/Last 70.250 69.300 70.885 71.335 67.930 66.680 67.500 69.030 62.750 56.800 59.800 65.800

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