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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 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

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