MRCI's ScenarioSM Study

ScenarioSM Study for May Lean Hogs(CME) as of Oct 06, 2023
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		21	22	22	22	22	22	22	22	22	22	22
Closed Higher		12	11	12	14	13	17	10	13	10	11	12
Exceeded High		8	9	11	13	10	13	8	12	9	8	11
Scenario Percentage		67%	82%	92%	93%	77%	76%	80%	92%	90%	73%	92%
Avg Max Increase		6.54%	4.11%	5.14%	5.68%	4.99%	4.87%	9.58%	9.14%	10.87%	8.34%	4.80%
Max Increase		17.80%	7.45%	12.16%	16.19%	15.30%	14.81%	26.89%	25.75%	25.77%	18.62%	16.61%
Avg Days To Max Increase		15	21	15	21	23	21	18	18	19	7	6
Avg Max Decline		-0.24%	-2.60%	-1.73%	-2.76%	-2.63%	-4.28%	-2.20%	-1.95%	-1.94%	-2.71%	-0.37%
Max Decline		-1.51%	-3.95%	-5.91%	-9.77%	-4.33%	-9.21%	-5.91%	-5.63%	-3.95%	-4.58%	-2.24%
Avg Days to Max Decline		2	14	13	9	14	15	13	11	7	6	2
2023 Contract Condition			Yes			Yes		Yes
Action			Yes			Yes		No

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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		21	22	22	22	22	22	22	22	22	22	22
Closed Lower		9	11	10	8	9	5	11	9	12	11	10
Penetrated Low		6	10	5	4	5	3	8	9	11	9	8
Scenario Percentage		67%	91%	50%	50%	56%	60%	73%	100%	92%	82%	80%
Avg Max Decline		7.33%	6.11%	6.98%	4.46%	6.29%	8.44%	9.74%	12.00%	16.77%	13.65%	4.50%
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		10	14	12	14	16	27	13	22	17	8	5
Avg Max Increase		-2.77%	-1.51%	-1.95%	-2.54%	-3.50%	-4.71%	-1.16%	-2.74%	-1.73%	-0.62%	-0.40%
Max Increase		-6.90%	-4.75%	-4.36%	-4.93%	-6.36%	-7.08%	-3.47%	-8.60%	-4.30%	-2.80%	-1.84%
Avg Days to Max Increase		15	7	9	3	18	19	5	15	11	3	1
2023 Contract Condition		Yes		Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes		Yes		Yes	Yes	Yes	Yes
High	98.930	97.530	97.250	99.000	100.080	98.550	100.250	102.150	100.500	97.680	95.200	85.350
Low	93.830	94.550	92.650	93.200	89.250	88.230	94.430	94.880	92.230	90.650	81.930	76.530
Close/Last	97.080	95.830	97.030	95.900	90.180	97.950	95.400	100.700	95.430	94.400	84.630	79.650