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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 Sep 16, 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 23 30 27 34 22 30 24 23 23 25
Exceeded High   16 21 25 22 28 20 26 21 19 18 13
Scenario Percentage   80% 91% 83% 81% 82% 91% 87% 88% 83% 78% 52%
Avg Max Increase   5.67% 5.70% 5.94% 6.37% 6.04% 8.53% 9.13% 10.37% 9.93% 8.14% 5.56%
Max Increase   12.89% 11.31% 11.39% 18.27% 20.85% 24.60% 27.28% 31.53% 23.07% 17.35% 10.69%
Avg Days To Max Increase   17 13 22 17 19 18 20 16 18 13 11
Avg Max Decline   -2.60% -1.97% -1.89% -1.88% -2.98% -1.48% -2.48% -1.80% -2.27% -1.70% -0.57%
Max Decline   -6.63% -6.57% -7.73% -5.95% -8.69% -4.79% -7.58% -6.47% -8.16% -3.66% -2.21%
Avg Days to Max Decline   9 12 12 9 13 8 11 7 7 4 2
2022 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes   Yes
Action     Yes Yes   Yes Yes Yes Yes No   Not Yet
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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 22 15 18 11 22 15 21 21 22 20
Penetrated Low   20 9 12 11 7 14 14 17 17 17 14
Scenario Percentage   80% 41% 80% 61% 64% 64% 93% 81% 81% 77% 70%
Avg Max Decline   5.42% 5.05% 4.99% 4.58% 8.29% 7.15% 9.55% 11.25% 10.27% 7.43% 5.69%
Max Decline   13.02% 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 13 17 14 14 15 21 17 13 11 6
Avg Max Increase   -1.57% -2.47% -2.38% -2.17% -1.47% -2.22% -2.29% -1.62% -1.56% -2.56% -0.14%
Max Increase   -5.42% -7.70% -5.59% -4.58% -5.35% -6.79% -9.63% -7.24% -6.78% -7.67% -1.57%
Avg Days to Max Increase   7 11 6 12 6 13 13 6 5 5 1
2022 Contract Condition   Yes     Yes           Yes  
Action   Yes     No           Yes  
High 97.750 96.000 94.750 96.180 96.700 98.150 99.180 107.250 121.550 127.330 123.080 111.600
Low 88.230 91.030 90.550 86.980 88.350 91.500 92.530 95.300 104.700 109.150 106.230 97.100
Close/Last 94.030 92.730 93.100 95.750 91.830 96.000 97.550 105.530 113.430 120.630 106.380 107.980

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