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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 21, 2022
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   20 22 29 27 33 22 30 23 23 24 25
Exceeded High   16 20 24 22 27 20 26 20 20 19 13
Scenario Percentage   80% 91% 83% 81% 82% 91% 87% 87% 87% 79% 52%
Avg Max Increase   5.67% 5.79% 6.08% 6.37% 5.83% 7.56% 8.60% 10.27% 10.53% 8.09% 5.56%
Max Increase   12.89% 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   17 13 22 17 19 17 19 15 18 13 11
Avg Max Decline   -2.60% -1.74% -1.64% -1.88% -2.95% -1.58% -2.65% -1.70% -2.22% -1.57% -0.57%
Max Decline   -6.63% -4.68% -4.14% -5.95% -8.69% -4.79% -7.58% -6.47% -8.16% -3.66% -2.21%
Avg Days to Max Decline   9 12 11 9 13 8 13 7 7 4 2
2021 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes Yes Yes
Action     Yes Yes   Yes Yes Yes Yes Yes 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   25 23 16 18 12 22 15 22 21 21 20
Penetrated Low   20 10 13 12 7 14 14 18 17 16 14
Scenario Percentage   80% 43% 81% 67% 58% 64% 93% 82% 81% 76% 70%
Avg Max Decline   5.91% 5.68% 5.17% 4.56% 8.29% 7.15% 9.55% 10.73% 10.27% 7.35% 5.69%
Max Decline   16.03% 15.17% 11.91% 7.80% 15.49% 15.89% 22.80% 25.20% 31.21% 13.88% 18.29%
Avg Days To Max Decline   14 15 18 16 14 15 21 17 13 11 6
Avg Max Increase   -1.57% -3.11% -2.63% -2.46% -1.47% -2.22% -2.29% -1.64% -1.56% -2.66% -0.14%
Max Increase   -5.42% -8.88% -5.64% -5.61% -5.35% -6.79% -9.63% -7.24% -6.78% -7.67% -1.57%
Avg Days to Max Increase   9 11 6 12 6 13 13 5 5 5 1
2021 Contract Condition   Yes     Yes              
Action   Yes     Yes              
High 78.000 77.130 76.500 81.350 83.800 81.780 83.130 88.400 96.380 106.380 110.080 117.600
Low 70.700 74.250 73.800 75.730 76.980 76.930 78.600 82.500 86.800 92.950 100.930 107.930
Close/Last 76.200 75.100 75.730 81.130 78.150 81.480 82.830 87.300 94.180 105.300 109.730 117.250

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