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