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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Lean Hogs(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   16 17 17 17 17 17 17 17 17 17 17
Closed Higher   10 10 10 10 11 14 6 11 8 8 9
Exceeded High   8 8 9 9 8 11 6 10 7 6 9
Scenario Percentage   80% 80% 90% 90% 73% 79% 100% 91% 88% 75% 100%
Avg Max Increase   6.54% 4.24% 4.51% 6.99% 5.30% 3.91% 4.97% 6.33% 8.61% 7.25% 4.44%
Max Increase   17.80% 7.45% 11.14% 16.19% 15.30% 14.81% 10.89% 24.18% 20.78% 20.55% 11.59%
Avg Days To Max Increase   15 21 13 22 22 20 16 16 16 8 8
Avg Max Decline   -0.24% -2.43% -1.74% -1.90% -2.30% -4.29% -2.33% -2.17% -1.73% -3.03% -0.75%
Max Decline   -1.51% -3.35% -5.91% -5.45% -3.84% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 11 7 13 16 12 13 7 6 2
2018 Contract Condition   Yes Yes   Yes Yes Yes Yes        
Action   Yes No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   16 17 17 17 17 17 17 17 17 17 17
Closed Lower   6 7 7 7 6 3 10 6 9 9 8
Penetrated Low   3 7 3 3 3 1 7 6 9 7 6
Scenario Percentage   50% 100% 43% 43% 50% 33% 70% 100% 100% 78% 75%
Avg Max Decline   7.31% 6.07% 6.79% 5.22% 6.64% 8.32% 9.05% 10.27% 12.91% 11.14% 4.84%
Max Decline   17.13% 12.24% 13.95% 10.95% 8.68% 8.32% 16.91% 18.96% 20.67% 27.76% 6.09%
Avg Days To Max Decline   14 17 14 18 20 26 12 21 16 8 6
Avg Max Increase   -3.20% -1.72% -1.39% -2.79% -3.36% -0.46% -1.05% -1.64% -1.55% -0.94% -0.45%
Max Increase   -6.90% -4.75% -3.18% -4.93% -6.36% -0.46% -3.47% -4.42% -4.13% -2.80% -1.84%
Avg Days to Max Increase   21 10 6 3 22 1 6 16 11 3 1
2018 Contract Condition       Yes         Yes Yes Yes Yes
Action       No         Yes Yes Yes Not Yet
High 74.050 74.900 76.500 76.480 76.300 79.300 80.550 80.750 81.350 79.900 76.100 70.750
Low 73.150 73.080 74.550 70.600 72.250 76.030 76.450 76.330 77.530 74.500 64.470 59.400
Close/Last 73.700 74.500 75.300 72.430 75.680 78.980 79.200 80.000 77.830 74.880 67.830 66.300

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