MRCI's ScenarioSM Study

ScenarioSM Study for June Lean Hogs(CME) as of Nov 09, 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		21	22	29	27	33	22	29	23	23	24	24
Exceeded High		17	20	23	22	26	20	25	20	20	18	10
Scenario Percentage		81%	91%	79%	81%	79%	91%	86%	87%	87%	75%	42%
Avg Max Increase		6.54%	5.75%	6.20%	6.37%	5.72%	7.04%	8.07%	10.39%	10.54%	7.39%	5.20%
Max Increase		20.43%	11.31%	11.39%	18.27%	20.85%	19.87%	27.28%	31.53%	23.07%	16.88%	7.54%
Avg Days To Max Increase		16	13	22	17	18	16	19	15	18	13	9
Avg Max Decline		-2.57%	-1.86%	-1.69%	-1.88%	-2.93%	-1.62%	-2.74%	-1.83%	-2.07%	-1.57%	-0.25%
Max Decline		-6.63%	-4.68%	-4.14%	-5.95%	-8.69%	-4.79%	-7.58%	-6.47%	-8.16%	-3.66%	-0.76%
Avg Days to Max Decline		8	12	11	9	13	7	13	8	6	3	2
2020 Contract Condition			Yes	Yes			Yes		Yes
Action			Yes	Yes			No		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	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		24	23	16	18	12	22	16	22	21	21	21
Penetrated Low		19	10	13	12	7	14	14	18	17	16	14
Scenario Percentage		79%	43%	81%	67%	58%	64%	88%	82%	81%	76%	67%
Avg Max Decline		6.13%	5.68%	5.17%	5.09%	8.29%	7.15%	9.55%	10.73%	10.27%	7.35%	5.69%
Max Decline		16.03%	15.17%	11.91%	7.90%	15.49%	15.89%	22.80%	25.20%	31.21%	13.88%	18.29%
Avg Days To Max Decline		15	15	18	15	14	15	21	17	13	11	6
Avg Max Increase		-1.65%	-3.11%	-2.63%	-3.01%	-1.47%	-2.22%	-2.29%	-1.64%	-1.56%	-2.66%	-0.14%
Max Increase		-5.42%	-8.88%	-5.64%	-11.19%	-5.35%	-6.79%	-9.63%	-7.24%	-6.78%	-7.67%	-1.57%
Avg Days to Max Increase		9	11	6	13	6	13	13	5	5	5	1
2020 Contract Condition		Yes			Yes	Yes		Yes		Yes	Yes	Yes
Action		Yes			Yes	Yes		Yes		Yes	Not Yet	Yes
High	90.400	92.400	87.950	92.750	94.150	93.400	90.180	90.180	84.250	80.350	60.780	66.950
Low	85.480	84.700	78.000	84.550	88.800	84.250	83.930	75.630	76.650	59.330	41.500	55.750
Close/Last	88.600	86.580	87.780	92.230	91.030	85.600	89.430	76.850	77.230	60.330	58.950	56.850