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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Lean Hogs(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 23 24 15 25 25 29 21 26 15 21
Exceeded High   18 13 18 12 21 21 23 16 21 13 13
Scenario Percentage   82% 57% 75% 80% 84% 84% 79% 76% 81% 87% 62%
Avg Max Increase   9.85% 11.24% 8.05% 7.63% 7.79% 8.01% 5.99% 7.98% 8.82% 9.85% 5.54%
Max Increase   48.25% 35.05% 22.84% 13.02% 15.02% 19.25% 21.99% 19.23% 34.28% 20.52% 11.10%
Avg Days To Max Increase   22 17 18 14 20 18 18 17 16 12 7
Avg Max Decline   -2.05% -1.05% -3.57% -2.55% -2.00% -2.06% -3.33% -1.99% -2.57% -1.83% -0.82%
Max Decline   -7.98% -8.14% -7.45% -4.97% -5.28% -7.70% -7.66% -3.97% -8.38% -4.81% -1.85%
Avg Days to Max Decline   9 8 10 10 8 9 12 8 8 6 2
2018 Contract Condition     Yes     Yes Yes   Yes      
Action     Yes     Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 22 21 29 19 20 16 24 19 30 24
Penetrated Low   19 14 18 17 15 17 10 15 16 25 13
Scenario Percentage   86% 64% 86% 59% 79% 85% 63% 63% 84% 83% 54%
Avg Max Decline   9.30% 9.50% 7.72% 7.35% 5.94% 5.45% 8.18% 9.90% 11.37% 10.27% 6.10%
Max Decline   23.15% 18.77% 17.38% 18.94% 10.97% 12.16% 20.96% 24.08% 24.53% 32.36% 21.30%
Avg Days To Max Decline   19 15 16 16 15 17 13 18 21 11 7
Avg Max Increase   -2.48% -1.84% -2.27% -2.46% -3.29% -3.70% -1.58% -2.89% -1.75% -1.51% -0.70%
Max Increase   -8.69% -6.76% -7.07% -11.24% -7.40% -15.60% -4.46% -6.34% -5.17% -5.44% -2.50%
Avg Days to Max Increase   8 8 8 10 10 13 3 10 13 4 2
2018 Contract Condition   Yes   Yes Yes     Yes   Yes Yes Yes
Action   Yes   Yes No     No   Yes Yes Yes
High 69.600 70.150 70.900 72.200 71.830 70.630 75.280 75.900 76.330 77.250 74.130 69.330
Low 66.130 68.650 67.750 69.470 65.030 66.700 69.830 70.630 70.980 72.100 67.130 56.750
Close/Last 69.500 69.430 70.580 69.720 67.150 69.850 74.900 73.850 75.650 72.250 67.220 57.250

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