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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, 2020
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   17 18 18 18 18 18 18 18 18 18 18
Closed Higher   10 10 11 11 12 15 6 11 8 9 10
Exceeded High   8 8 10 10 9 11 6 10 7 7 9
Scenario Percentage   80% 80% 91% 91% 75% 73% 100% 91% 88% 78% 90%
Avg Max Increase   6.54% 4.24% 4.44% 6.67% 5.06% 3.91% 4.97% 6.33% 8.61% 8.31% 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 15 22 22 20 16 16 16 7 8
Avg Max Decline   -0.24% -2.43% -1.95% -2.21% -2.53% -4.29% -2.33% -2.17% -1.73% -3.04% -0.75%
Max Decline   -1.51% -3.35% -5.91% -5.45% -4.33% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 14 8 12 16 12 13 7 6 2
2019 Contract Condition       Yes Yes Yes Yes       Yes Yes
Action       Yes Yes Yes No       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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   17 18 18 18 18 18 18 18 18 18 18
Closed Lower   7 8 7 7 6 3 11 7 10 9 8
Penetrated Low   4 7 3 3 3 1 8 7 9 7 6
Scenario Percentage   57% 88% 43% 43% 50% 33% 73% 100% 90% 78% 75%
Avg Max Decline   7.35% 6.07% 6.79% 5.22% 6.64% 8.32% 9.74% 9.82% 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   13 17 14 18 20 26 13 20 16 8 6
Avg Max Increase   -3.07% -1.72% -1.39% -2.79% -3.36% -0.46% -1.16% -1.96% -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   17 10 6 3 22 1 5 14 11 3 1
2019 Contract Condition   Yes Yes         Yes Yes Yes    
Action   Yes No         Yes Yes No    
High 72.900 73.500 72.200 75.500 75.850 77.000 78.000 77.700 74.830 70.050 89.100 93.250
Low 71.250 69.000 65.080 65.650 73.130 71.330 72.330 73.100 67.000 62.650 65.250 78.830
Close/Last 72.350 70.330 66.630 74.180 75.130 75.600 77.330 73.380 67.430 65.700 81.330 84.300

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