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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 Jun 30, 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   20 21 21 21 21 21 21 21 21 21 21
Closed Higher   12 10 12 14 12 17 9 13 10 11 12
Exceeded High   8 8 11 13 9 13 8 12 9 8 11
Scenario Percentage   67% 80% 92% 93% 75% 76% 89% 92% 90% 73% 92%
Avg Max Increase   6.54% 4.24% 5.14% 5.68% 5.06% 4.87% 9.58% 9.14% 10.87% 8.56% 5.05%
Max Increase   17.80% 7.45% 12.16% 16.19% 15.30% 14.81% 26.89% 25.75% 25.77% 20.41% 16.61%
Avg Days To Max Increase   15 21 15 21 22 21 18 18 19 7 7
Avg Max Decline   -0.24% -2.43% -1.73% -2.76% -2.53% -4.28% -2.20% -1.95% -1.94% -2.71% -0.37%
Max Decline   -1.51% -3.35% -5.91% -9.77% -4.33% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 13 9 12 15 13 11 7 6 2
2022 Contract Condition   Yes     Yes   Yes Yes Yes Yes Yes  
Action   No     Yes   Yes Yes Yes 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   20 21 21 21 21 21 21 21 21 21 21
Closed Lower   8 11 9 7 9 4 11 8 11 10 9
Penetrated Low   5 10 4 3 5 2 8 8 10 8 7
Scenario Percentage   63% 91% 44% 43% 56% 50% 73% 100% 91% 80% 78%
Avg Max Decline   8.13% 6.11% 6.73% 5.22% 6.29% 11.00% 9.74% 11.73% 16.55% 13.98% 4.48%
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% -1.51% -1.35% -2.79% -3.50% -3.52% -1.16% -2.79% -1.82% -0.59% -0.48%
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 7 7 3 18 16 5 15 11 3 1
2022 Contract Condition     Yes Yes   Yes           Yes
Action     Yes Yes   No           Yes
High 90.800 94.100 92.130 90.830 92.250 92.800 92.800 93.050 101.480 116.100 120.330 117.050
Low 87.000 84.430 87.000 86.250 82.350 83.130 86.280 86.500 89.030 99.100 103.650 100.580
Close/Last 88.530 89.950 88.750 88.130 92.130 87.200 90.380 91.500 99.680 107.650 113.580 100.900

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