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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 May 08, 2024
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 22 25 18 28 23 30 17 24
Exceeded High   20 19 19 15 17 14 24 18 21 11 17
Scenario Percentage   83% 66% 79% 68% 68% 78% 86% 78% 70% 65% 71%
Avg Max Increase   6.38% 5.26% 6.53% 6.47% 6.25% 8.99% 8.17% 7.87% 6.25% 7.81% 3.50%
Max Increase   23.28% 17.39% 19.99% 12.13% 12.61% 16.92% 19.63% 21.87% 25.48% 13.53% 11.94%
Avg Days To Max Increase   15 14 20 17 15 16 17 14 15 16 7
Avg Max Decline   -1.31% -1.36% -2.87% -0.90% -2.84% -2.28% -2.56% -2.74% -3.29% -3.60% -0.69%
Max Decline   -4.14% -4.85% -13.44% -4.38% -7.47% -5.20% -10.74% -10.34% -8.14% -5.96% -2.49%
Avg Days to Max Decline   5 12 13 7 9 8 5 8 7 6 2
2024 Contract Condition     Yes   Yes Yes           Yes
Action     No   No 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 16 20 22 20 27 17 22 15 28 20
Penetrated Low   12 14 17 17 17 16 15 16 12 17 16
Scenario Percentage   60% 88% 85% 77% 85% 59% 88% 73% 80% 61% 80%
Avg Max Decline   7.46% 5.28% 10.60% 9.90% 7.77% 8.21% 7.33% 6.82% 10.41% 8.18% 4.82%
Max Decline   18.78% 11.33% 27.67% 20.29% 17.84% 18.24% 14.37% 13.98% 28.71% 24.75% 10.85%
Avg Days To Max Decline   16 18 17 16 14 16 13 17 17 9 8
Avg Max Increase   -1.77% -2.35% -2.31% -2.74% -2.21% -3.28% -2.95% -3.42% -3.19% -2.11% -1.06%
Max Increase   -4.58% -6.92% -6.00% -9.09% -6.58% -7.87% -6.19% -8.90% -9.20% -7.28% -3.28%
Avg Days to Max Increase   9 9 8 13 7 12 13 14 9 6 2
2024 Contract Condition   Yes   Yes     Yes Yes Yes Yes Yes  
Action   Yes   No     Yes Yes Yes Yes Yes  
High 88.350 87.450 84.500 83.900 83.500 81.750 81.230 81.300 77.680 77.780 72.450 76.600
Low 85.700 78.750 79.600 73.000 76.200 78.450 75.150 75.000 69.180 65.800 66.220 64.580
Close/Last 87.500 83.280 83.800 77.580 80.780 80.830 78.700 75.450 74.880 71.480 67.970 76.350

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