MRCI's ScenarioSM Study

ScenarioSM Study for April 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	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		21	22	23	16	26	25	30	20	25	15	22
Exceeded High		17	12	17	13	22	21	23	15	21	13	13
Scenario Percentage		81%	55%	74%	81%	85%	84%	77%	75%	84%	87%	59%
Avg Max Increase		7.59%	9.25%	8.05%	7.44%	7.65%	7.74%	5.99%	7.74%	8.82%	9.82%	5.39%
Max Increase		19.34%	30.33%	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	15	20	19	18	17	16	12	7
Avg Max Decline		-1.97%	-1.19%	-3.36%	-2.69%	-2.21%	-2.37%	-3.33%	-2.12%	-2.57%	-1.78%	-0.82%
Max Decline		-7.98%	-8.14%	-7.45%	-4.97%	-6.61%	-7.70%	-7.66%	-3.97%	-8.38%	-4.81%	-1.85%
Avg Days to Max Decline		9	8	10	14	10	9	12	8	8	5	2
2019 Contract Condition					Yes	Yes	Yes	Yes				Yes
Action					Yes	Yes	Yes	No				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	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		23	23	22	28	18	20	15	25	20	30	23
Penetrated Low		20	15	18	16	15	17	9	16	17	24	13
Scenario Percentage		87%	65%	82%	57%	83%	85%	60%	64%	85%	80%	57%
Avg Max Decline		9.54%	9.58%	7.72%	6.62%	5.94%	5.45%	8.49%	10.67%	11.48%	9.94%	6.06%
Max Decline		23.15%	18.77%	17.38%	17.03%	10.97%	12.16%	20.96%	24.08%	24.53%	32.36%	21.30%
Avg Days To Max Decline		18	15	16	16	15	17	11	18	21	10	7
Avg Max Increase		-2.47%	-1.99%	-2.27%	-2.60%	-3.29%	-3.70%	-1.26%	-2.89%	-1.93%	-1.50%	-0.70%
Max Increase		-8.69%	-6.76%	-7.07%	-11.24%	-7.40%	-15.60%	-4.43%	-6.34%	-5.17%	-5.44%	-2.50%
Avg Days to Max Increase		8	7	8	11	10	13	2	9	12	4	2
2019 Contract Condition		Yes	Yes	Yes					Yes	Yes	Yes
Action		Yes	Yes	No					Yes	Yes	Not Yet
High	69.880	68.350	68.750	67.250	69.850	70.630	72.080	73.430	72.900	69.030	63.130	81.750
Low	66.000	66.130	63.650	57.800	58.230	67.700	65.430	65.400	66.350	60.050	52.250	55.680
Close/Last	67.720	67.250	64.680	59.780	68.480	70.030	70.330	71.980	67.080	60.230	55.880	77.380