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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 Jun 08, 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 21 22 16 26 25 29 21 25 16 21
Exceeded High   17 11 16 13 22 21 22 16 21 13 13
Scenario Percentage   81% 52% 73% 81% 85% 84% 76% 76% 84% 81% 62%
Avg Max Increase   7.59% 7.34% 8.45% 7.44% 7.66% 7.74% 5.94% 7.33% 8.82% 9.86% 5.86%
Max Increase   19.34% 14.70% 22.84% 13.02% 15.02% 19.25% 21.99% 19.23% 34.28% 20.52% 11.10%
Avg Days To Max Increase   22 18 19 15 21 19 18 16 16 12 9
Avg Max Decline   -1.97% -0.56% -3.37% -2.69% -2.38% -2.37% -3.28% -2.03% -2.57% -1.83% -0.71%
Max Decline   -7.98% -3.17% -7.45% -4.97% -6.61% -7.70% -7.66% -3.97% -8.38% -4.81% -1.71%
Avg Days to Max Decline   9 8 11 14 10 9 12 8 8 6 2
2020 Contract Condition           Yes     Yes   Yes  
Action           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 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 24 23 28 18 20 16 24 20 29 24
Penetrated Low   20 16 19 15 15 17 10 15 18 23 15
Scenario Percentage   87% 67% 83% 54% 83% 85% 63% 63% 90% 79% 63%
Avg Max Decline   9.23% 9.94% 8.00% 6.56% 5.94% 5.41% 9.35% 10.42% 11.70% 10.24% 7.24%
Max Decline   23.15% 18.77% 17.38% 17.03% 10.97% 12.16% 20.96% 24.08% 24.53% 32.36% 28.16%
Avg Days To Max Decline   18 14 16 17 15 16 13 18 22 10 7
Avg Max Increase   -2.52% -2.23% -2.17% -2.94% -3.29% -3.75% -1.80% -2.91% -2.42% -1.63% -0.66%
Max Increase   -8.69% -6.76% -7.07% -11.24% -7.40% -15.60% -6.63% -6.34% -10.80% -5.44% -2.50%
Avg Days to Max Increase   8 9 7 11 10 14 5 10 13 4 2
2020 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes   Yes
Action   Yes Yes Yes No   Yes Yes   Yes   Yes
High 90.850 88.150 84.430 85.650 79.000 83.500 85.350 83.000 78.800 78.830 68.250 67.700
Low 72.680 81.300 77.250 76.630 68.450 72.400 77.650 72.280 71.900 61.330 61.000 52.100
Close/Last 86.580 82.380 80.880 78.700 77.080 83.130 79.850 73.930 77.930 61.600 62.280 52.200

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