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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 May 09, 2024
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 23 29 27 33 22 29 23 22 23 24
Exceeded High   17 21 24 22 27 19 25 20 18 17 13
Scenario Percentage   81% 91% 83% 81% 82% 86% 86% 87% 82% 74% 54%
Avg Max Increase   5.57% 5.70% 5.81% 5.75% 5.49% 7.97% 8.77% 10.10% 9.89% 8.12% 5.56%
Max Increase   12.89% 11.31% 11.39% 12.62% 17.51% 24.60% 27.28% 31.53% 23.07% 17.35% 10.69%
Avg Days To Max Increase   17 13 22 17 18 18 19 16 19 13 11
Avg Max Decline   -2.63% -1.97% -1.93% -2.04% -3.03% -1.42% -2.59% -1.86% -2.29% -1.77% -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   10 12 12 11 13 7 12 8 7 4 2
2024 Contract Condition     Yes         Yes Yes Yes Yes  
Action     Yes         Yes Yes Yes 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   24 22 16 18 12 22 16 22 22 22 21
Penetrated Low   19 10 13 11 8 14 15 18 18 17 14
Scenario Percentage   79% 45% 81% 61% 67% 64% 94% 82% 82% 77% 67%
Avg Max Decline   5.48% 5.20% 4.78% 4.58% 7.59% 7.15% 9.90% 11.56% 10.68% 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   13 12 16 14 16 15 21 17 14 11 6
Avg Max Increase   -1.59% -2.67% -2.36% -2.17% -2.12% -2.22% -2.33% -1.61% -1.54% -2.56% -0.14%
Max Increase   -5.42% -7.70% -5.59% -4.58% -6.71% -6.79% -9.63% -7.24% -6.78% -7.67% -1.57%
Avg Days to Max Increase   7 12 6 12 8 13 14 6 5 5 1
2024 Contract Condition   Yes   Yes Yes Yes Yes         Yes
Action   Yes   Yes Yes Yes Yes          
High 98.850 96.550 95.880 97.380 95.630 95.430 93.800 98.350 100.930 103.480 109.650 103.530
Low 91.930 93.600 91.600 93.600 89.480 89.350 89.380 87.550 93.880 98.630 100.180 97.230
Close/Last 96.080 95.030 95.530 94.130 93.580 92.500 89.930 97.900 100.200 101.450 102.480 97.730

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