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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 21 29 27 34 21 29 22 24 25 25
Exceeded High   17 19 23 22 27 20 25 20 21 19 13
Scenario Percentage   77% 90% 79% 81% 79% 95% 86% 91% 88% 76% 52%
Avg Max Increase   6.54% 5.67% 6.17% 6.37% 5.75% 7.04% 8.07% 10.39% 10.48% 8.08% 5.68%
Max Increase   20.43% 11.31% 11.39% 18.27% 20.85% 19.87% 27.28% 31.53% 23.07% 17.35% 10.69%
Avg Days To Max Increase   16 13 22 17 18 16 19 15 17 13 11
Avg Max Decline   -2.57% -1.76% -1.85% -1.88% -2.99% -1.62% -2.74% -1.83% -2.07% -1.72% -0.54%
Max Decline   -6.63% -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 12 11 9 13 7 13 8 6 3 2
2019 Contract Condition     Yes Yes Yes Yes     Yes Yes    
Action     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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 24 16 18 11 23 16 23 20 20 20
Penetrated Low   18 11 13 12 6 15 13 19 16 16 13
Scenario Percentage   78% 46% 81% 67% 55% 65% 81% 83% 80% 80% 65%
Avg Max Decline   5.92% 5.82% 5.17% 5.18% 7.73% 7.56% 8.53% 10.36% 8.97% 7.35% 4.72%
Max Decline   16.03% 15.17% 11.91% 8.87% 15.49% 15.89% 22.27% 25.20% 24.55% 13.88% 11.81%
Avg Days To Max Decline   15 14 18 17 11 15 20 16 13 11 6
Avg Max Increase   -1.71% -2.65% -2.63% -3.15% -0.82% -2.26% -1.72% -1.47% -1.80% -2.66% -0.29%
Max Increase   -5.42% -8.88% -5.64% -11.19% -3.00% -6.79% -6.58% -7.24% -6.78% -7.67% -1.57%
Avg Days to Max Increase   9 10 6 12 1 13 13 5 6 5 1
2019 Contract Condition   Yes         Yes Yes     Yes Yes
Action   No         Yes Yes     Yes Yes
High 77.330 75.950 80.550 80.900 83.080 85.530 85.000 82.900 78.150 97.830 99.830 93.830
Low 73.000 68.750 70.180 78.180 77.830 80.000 81.000 75.030 72.200 74.800 86.250 81.400
Close/Last 73.850 71.380 78.750 80.180 81.780 83.780 81.450 75.300 75.900 88.550 88.230 81.730

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