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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, 2020
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 29 24 23 25 19 29 23 33 15 25
Exceeded High   20 22 19 16 18 15 25 18 23 10 18
Scenario Percentage   83% 76% 79% 70% 72% 79% 86% 78% 70% 67% 72%
Avg Max Increase   5.52% 5.27% 6.88% 8.99% 7.79% 8.83% 8.71% 8.83% 7.43% 9.47% 4.30%
Max Increase   18.18% 17.39% 19.99% 32.37% 25.43% 15.90% 19.63% 21.87% 25.48% 17.73% 11.94%
Avg Days To Max Increase   15 15 21 18 16 16 19 15 16 18 7
Avg Max Decline   -1.02% -1.64% -2.99% -1.32% -3.15% -2.41% -2.63% -2.49% -3.00% -3.14% -0.54%
Max Decline   -4.14% -6.81% -13.44% -5.74% -7.59% -5.20% -10.74% -10.34% -7.69% -5.96% -2.10%
Avg Days to Max Decline   5 11 14 5 9 10 6 7 8 5 2
2019 Contract Condition     Yes       Yes Yes   Yes    
Action     No       Yes Yes   No    
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 16 20 21 20 26 16 22 12 30 19
Penetrated Low   11 14 18 16 17 15 14 17 9 17 14
Scenario Percentage   55% 88% 90% 76% 85% 58% 88% 77% 75% 57% 74%
Avg Max Decline   8.82% 6.92% 11.05% 10.22% 8.03% 8.00% 7.26% 6.16% 9.57% 8.70% 5.08%
Max Decline   31.50% 27.41% 27.67% 20.29% 17.84% 18.24% 14.37% 13.98% 28.71% 24.75% 10.85%
Avg Days To Max Decline   17 18 19 16 16 16 12 15 16 10 9
Avg Max Increase   -2.07% -2.23% -2.76% -2.00% -2.70% -2.76% -3.23% -3.56% -2.53% -2.17% -1.08%
Max Increase   -4.58% -6.92% -6.73% -7.73% -6.58% -7.87% -6.77% -13.93% -9.20% -7.28% -3.28%
Avg Days to Max Increase   11 9 9 10 9 9 12 13 6 6 2
2019 Contract Condition   Yes   Yes Yes Yes     Yes   Yes Yes
Action   Yes   Yes Yes Yes     No   Yes Yes
High 68.730 67.930 66.450 64.330 64.930 62.200 64.700 66.470 68.080 69.500 68.830 64.220
Low 65.600 63.500 62.500 61.680 58.850 51.950 51.230 62.500 58.780 59.250 60.200 56.150
Close/Last 67.600 63.680 63.930 62.950 59.750 53.800 62.880 65.850 65.330 67.550 60.980 56.250

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