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