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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lean Hogs(CME) as of Jan 01, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 26 28 34 21 30 22 25 30 21 21
Exceeded High   17 22 24 27 20 26 19 23 23 15 13
Scenario Percentage   85% 85% 86% 79% 95% 87% 86% 92% 77% 71% 62%
Avg Max Increase   5.70% 6.29% 6.08% 5.47% 6.74% 7.55% 10.51% 8.97% 9.37% 8.92% 3.87%
Max Increase   10.46% 13.33% 17.72% 19.47% 17.79% 24.71% 30.88% 20.93% 30.49% 30.02% 10.69%
Avg Days To Max Increase   15 22 20 18 15 19 17 17 18 6 6
Avg Max Decline   -1.75% -1.62% -1.82% -2.87% -1.33% -2.16% -1.90% -1.83% -2.46% -1.62% -1.01%
Max Decline   -4.74% -3.97% -5.05% -8.98% -5.15% -7.89% -5.54% -7.21% -7.13% -5.05% -4.18%
Avg Days to Max Decline   11 11 9 12 7 11 7 7 13 4 1
2019 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes    
Action   Yes Yes Yes No     Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 19 17 11 24 15 23 20 15 24 24
Penetrated Low   12 16 12 6 17 11 18 16 13 17 13
Scenario Percentage   50% 84% 71% 55% 71% 73% 78% 80% 87% 71% 54%
Avg Max Decline   5.48% 4.28% 4.51% 6.56% 5.96% 7.56% 9.83% 7.79% 7.51% 8.16% 3.94%
Max Decline   15.27% 12.12% 9.34% 14.74% 14.26% 20.65% 24.28% 21.65% 16.39% 27.57% 10.41%
Avg Days To Max Decline   15 18 17 11 14 21 15 14 20 12 6
Avg Max Increase   -2.43% -2.84% -2.76% -0.67% -2.47% -2.13% -1.59% -1.74% -3.46% -1.91% -0.59%
Max Increase   -8.66% -6.72% -10.10% -2.36% -7.12% -6.15% -7.94% -6.31% -11.23% -5.60% -3.86%
Avg Days to Max Increase   11 8 12 1 12 19 7 7 9 6 3
2019 Contract Condition           Yes Yes       Yes Yes
Action           Yes Yes       Yes Yes
High 75.430 79.730 81.000 83.300 85.980 85.300 83.780 80.780 101.530 102.450 97.230 87.130
Low 69.800 70.700 78.480 78.680 80.500 82.000 77.180 75.030 77.280 89.580 84.330 72.000
Close/Last 71.700 78.600 80.400 82.350 84.280 82.480 77.400 78.280 92.200 92.380 85.930 72.100

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