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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 21, 2022
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   20 22 21 16 26 25 29 21 26 16 21
Exceeded High   16 11 15 13 22 21 23 17 22 13 13
Scenario Percentage   80% 50% 71% 81% 85% 84% 79% 81% 85% 81% 62%
Avg Max Increase   7.21% 7.34% 7.49% 7.50% 7.59% 7.74% 6.06% 8.40% 9.92% 10.18% 5.43%
Max Increase   19.34% 14.70% 14.24% 13.78% 15.02% 19.25% 21.99% 25.51% 34.28% 20.52% 11.10%
Avg Days To Max Increase   22 18 20 16 21 19 19 17 16 12 9
Avg Max Decline   -1.81% -0.56% -3.46% -2.46% -2.39% -2.37% -3.39% -2.05% -2.53% -1.72% -0.60%
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   8 8 11 13 10 9 12 9 7 6 2
2021 Contract Condition     Yes   Yes Yes   Yes Yes Yes Yes Yes
Action     No   Yes Yes   Yes 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   24 23 24 28 18 20 16 24 19 29 24
Penetrated Low   21 15 20 15 15 17 10 15 18 23 15
Scenario Percentage   88% 65% 83% 54% 83% 85% 63% 63% 95% 79% 63%
Avg Max Decline   9.06% 10.35% 7.70% 6.56% 5.94% 5.26% 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   17 15 15 17 15 16 13 18 22 10 7
Avg Max Increase   -2.29% -2.34% -2.06% -2.94% -3.29% -3.10% -1.80% -2.91% -2.42% -1.63% -0.66%
Max Increase   -8.69% -6.76% -7.07% -11.24% -7.40% -7.98% -6.63% -6.34% -10.80% -5.44% -2.50%
Avg Days to Max Increase   8 9 7 11 10 13 5 10 13 4 2
2021 Contract Condition   Yes   Yes     Yes          
Action   Yes   Yes     Yes          
High 71.880 70.750 68.700 67.470 67.300 73.000 75.300 71.550 72.880 77.600 90.680 101.980
Low 58.100 62.830 61.250 64.530 64.100 66.250 67.280 65.930 67.280 70.650 75.380 85.130
Close/Last 67.830 64.900 66.530 65.430 66.180 72.030 68.400 71.400 72.250 76.650 87.150 101.050

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