MRCI's ScenarioSM Study

ScenarioSM Study for June Lean Hogs(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		44	45	45	45	45	45	45	45	45	45	45
Closed Higher		22	21	28	27	33	22	31	22	23	26	25
Exceeded High		17	19	21	21	27	21	26	20	20	20	13
Scenario Percentage		77%	90%	75%	78%	82%	95%	84%	91%	87%	77%	52%
Avg Max Increase		7.15%	5.90%	6.11%	6.75%	6.41%	8.53%	8.75%	9.29%	10.37%	8.20%	5.40%
Max Increase		20.43%	11.31%	11.39%	18.27%	21.47%	29.73%	27.28%	19.19%	23.07%	17.35%	10.69%
Avg Days To Max Increase		17	12	22	16	19	17	19	16	18	13	11
Avg Max Decline		-2.91%	-1.72%	-1.87%	-1.83%	-2.90%	-1.55%	-2.75%	-1.83%	-2.05%	-1.68%	-0.60%
Max Decline		-7.45%	-4.68%	-7.00%	-5.95%	-8.69%	-4.79%	-7.58%	-6.47%	-8.16%	-4.44%	-2.21%
Avg Days to Max Decline		8	9	12	9	12	7	13	8	6	3	2
2017 Contract Condition			Yes		Yes		Yes	Yes	Yes		Yes	Yes
Action			No		Yes		Yes	Yes	No		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		44	45	45	45	45	45	45	45	45	45	45
Closed Lower		22	24	17	18	12	22	14	23	21	19	20
Penetrated Low		18	12	13	12	7	14	11	19	16	16	13
Scenario Percentage		82%	50%	76%	67%	58%	64%	79%	83%	76%	84%	65%
Avg Max Decline		5.92%	6.87%	5.17%	5.18%	7.37%	7.29%	8.68%	10.85%	10.33%	8.43%	5.36%
Max Decline		16.03%	18.42%	11.91%	8.87%	15.49%	15.89%	22.27%	25.20%	30.00%	28.53%	12.56%
Avg Days To Max Decline		15	15	18	17	14	15	20	17	15	12	6
Avg Max Increase		-1.71%	-2.41%	-2.63%	-3.15%	-1.68%	-2.29%	-1.49%	-1.51%	-2.33%	-2.28%	-0.57%
Max Increase		-5.42%	-8.88%	-5.64%	-11.19%	-6.85%	-6.79%	-6.58%	-7.24%	-6.95%	-7.67%	-4.70%
Avg Days to Max Increase		9	10	6	12	3	14	14	5	6	5	1
2017 Contract Condition		Yes		Yes		Yes				Yes
Action		Yes		No		Yes				Yes
High	80.050	79.450	77.180	76.280	73.800	74.830	78.000	79.000	80.350	79.380	74.600	82.680
Low	76.100	73.430	73.630	66.400	66.650	71.780	71.750	75.450	75.930	72.250	67.780	73.030
Close/Last	79.350	74.130	75.550	67.080	73.630	73.030	76.500	77.600	77.630	73.850	74.000	81.930