MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		19	20	20	20	20	20	20	20	20	20	20
Closed Higher		11	10	12	13	12	16	8	12	9	10	12
Exceeded High		8	8	11	12	9	12	7	11	8	8	11
Scenario Percentage		73%	80%	92%	92%	75%	75%	88%	92%	89%	80%	92%
Avg Max Increase		6.54%	4.24%	5.14%	6.09%	5.06%	4.25%	7.11%	8.09%	10.76%	8.58%	5.31%
Max Increase		17.80%	7.45%	12.16%	16.19%	15.30%	14.81%	19.94%	25.75%	25.77%	20.55%	16.61%
Avg Days To Max Increase		15	21	15	21	22	21	18	17	18	7	8
Avg Max Decline		-0.24%	-2.43%	-1.73%	-2.18%	-2.53%	-4.28%	-2.12%	-2.07%	-1.71%	-2.71%	-0.37%
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	13	7	12	16	13	12	7	6	2
2021 Contract Condition		Yes		Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action		No		Yes	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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		19	20	20	20	20	20	20	20	20	20	20
Closed Lower		8	10	8	7	8	4	11	8	11	10	8
Penetrated Low		5	9	3	3	5	2	8	8	10	8	6
Scenario Percentage		63%	90%	38%	43%	63%	50%	73%	100%	91%	80%	75%
Avg Max Decline		8.13%	5.99%	6.79%	5.22%	6.29%	11.00%	9.74%	11.73%	16.55%	13.98%	4.84%
Max Decline		17.13%	12.24%	13.95%	10.95%	9.21%	13.69%	16.91%	25.10%	49.25%	33.88%	6.09%
Avg Days To Max Decline		11	14	14	18	16	28	13	22	16	8	6
Avg Max Increase		-3.52%	-1.41%	-1.39%	-2.79%	-3.50%	-3.52%	-1.16%	-2.79%	-1.82%	-0.59%	-0.45%
Max Increase		-6.90%	-4.75%	-3.18%	-4.93%	-6.36%	-6.58%	-3.47%	-8.60%	-4.30%	-2.80%	-1.84%
Avg Days to Max Increase		18	8	6	3	18	16	5	15	11	3	1
2021 Contract Condition			Yes			Yes
Action			Yes			Yes
High	74.600	72.980	72.280	71.500	77.050	79.500	76.150	77.080	82.000	92.030	101.830	111.780
Low	68.150	66.450	69.430	68.850	71.200	72.200	71.400	72.750	76.050	80.080	87.450	101.080
Close/Last	70.030	71.380	69.880	70.880	76.750	73.080	75.950	76.730	80.980	88.880	101.500	110.130