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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 Feb 21, 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 14
Scenario Percentage   81% 55% 74% 81% 85% 84% 77% 75% 84% 87% 64%
Avg Max Increase   7.59% 9.25% 8.05% 7.44% 7.65% 7.74% 5.99% 7.74% 8.82% 9.86% 5.70%
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 9
Avg Max Decline   -1.97% -1.19% -3.36% -2.69% -2.21% -2.37% -3.33% -2.12% -2.57% -1.83% -0.79%
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 6 2
2020 Contract Condition           Yes     Yes   Yes  
Action           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   23 23 22 28 18 20 15 25 20 30 23
Penetrated Low   20 15 18 16 15 17 9 16 17 24 14
Scenario Percentage   87% 65% 82% 57% 83% 85% 60% 64% 85% 80% 61%
Avg Max Decline   9.54% 9.58% 7.72% 6.62% 5.94% 5.45% 8.49% 10.67% 11.48% 9.98% 5.75%
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% -0.79%
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
2020 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes    
Action   Yes Yes Yes No   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  
Low 72.680 81.300 77.250 76.630 68.450 72.400 77.650 72.280 71.900 61.330 61.000  
Close/Last 86.580 82.380 80.880 78.700 77.080 83.130 79.850 73.930 77.930 61.600 67.030  

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