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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 May 09, 2024
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 23 21 16 26 25 28 21 25 16 20
Exceeded High   16 11 15 13 22 21 22 16 21 13 12
Scenario Percentage   80% 48% 71% 81% 85% 84% 79% 76% 84% 81% 60%
Avg Max Increase   7.19% 7.34% 6.93% 7.50% 7.36% 7.01% 5.70% 9.16% 10.24% 9.86% 4.88%
Max Increase   19.34% 14.70% 14.24% 13.78% 15.02% 13.13% 18.26% 30.12% 34.28% 20.52% 11.10%
Avg Days To Max Increase   21 18 19 16 20 19 18 17 17 11 7
Avg Max Decline   -1.80% -0.56% -3.28% -2.46% -2.21% -2.53% -3.37% -2.08% -2.92% -1.89% -0.59%
Max Decline   -7.98% -3.17% -6.23% -4.97% -6.61% -7.70% -7.66% -3.61% -8.38% -4.81% -1.71%
Avg Days to Max Decline   8 8 12 13 9 11 12 8 8 6 1
2024 Contract Condition     Yes             Yes Yes  
Action     No             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 22 24 28 19 20 17 24 20 29 25
Penetrated Low   20 15 20 17 16 16 12 16 19 23 15
Scenario Percentage   83% 68% 83% 61% 84% 80% 71% 67% 95% 79% 60%
Avg Max Decline   8.86% 9.58% 7.27% 6.51% 5.90% 5.69% 9.04% 10.03% 11.78% 10.75% 7.67%
Max Decline   23.15% 18.77% 15.50% 17.03% 10.97% 12.16% 20.96% 24.08% 24.53% 32.36% 28.16%
Avg Days To Max Decline   17 16 15 16 14 15 13 17 22 11 6
Avg Max Increase   -2.29% -2.56% -1.96% -3.01% -2.97% -2.61% -2.34% -2.78% -2.51% -1.66% -0.45%
Max Increase   -8.69% -6.76% -7.07% -11.24% -7.40% -5.56% -7.45% -6.34% -10.80% -5.44% -2.50%
Avg Days to Max Increase   8 12 6 14 10 12 8 9 13 4 2
2024 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes      
Action   No   Yes Yes Yes Yes Yes Yes      
High 88.080 87.450 89.030 86.530 85.500 86.050 83.200 82.800 79.350 85.930 88.900 88.250
Low 83.750 78.400 81.380 83.430 80.450 80.830 75.250 72.830 73.850 71.700 79.680 83.150
Close/Last 87.080 82.480 86.200 84.750 84.050 80.930 80.200 77.350 74.850 84.830 86.630 86.630

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