MRCI's ScenarioSM Study

ScenarioSM Study for July 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	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		21	26	29	33	22	30	23	24	29	20	20
Exceeded High		18	22	24	26	20	26	19	22	22	14	13
Scenario Percentage		86%	85%	83%	79%	91%	87%	83%	92%	76%	70%	65%
Avg Max Increase		5.79%	6.36%	6.08%	5.48%	6.74%	7.55%	10.51%	9.00%	8.85%	8.54%	3.90%
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		16	23	20	18	15	19	17	16	17	6	8
Avg Max Decline		-1.81%	-1.60%	-1.82%	-2.82%	-1.33%	-2.16%	-1.90%	-1.82%	-2.47%	-1.67%	-1.05%
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	13	7	11	7	8	14	4	2
2020 Contract Condition		Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	No		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	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		23	19	16	12	23	15	22	21	16	25	25
Penetrated Low		11	16	11	7	16	12	17	17	14	18	14
Scenario Percentage		48%	84%	69%	58%	70%	80%	77%	81%	88%	72%	56%
Avg Max Decline		5.35%	4.28%	4.07%	7.16%	5.60%	8.62%	10.19%	8.76%	8.81%	9.24%	4.26%
Max Decline		15.27%	12.12%	7.16%	14.74%	14.26%	20.65%	24.28%	24.29%	25.65%	27.57%	13.31%
Avg Days To Max Decline		16	18	17	14	14	21	15	14	20	12	8
Avg Max Increase		-2.92%	-2.84%	-2.66%	-1.22%	-2.42%	-2.69%	-1.75%	-1.52%	-3.95%	-1.74%	-0.59%
Max Increase		-8.66%	-6.72%	-10.10%	-4.47%	-7.12%	-8.90%	-7.94%	-6.31%	-11.23%	-5.60%	-3.86%
Avg Days to Max Increase		11	8	12	5	12	19	7	6	9	6	3
2020 Contract Condition					Yes		Yes		Yes	Yes	Yes	Yes
Action					Yes		Yes		Yes	Yes	Yes	Yes
High	91.700	87.550	91.750	93.650	93.350	90.000	89.950	85.080	81.300	63.930	66.700	56.400
Low	84.630	78.930	84.850	89.050	84.730	84.350	76.880	78.000	62.330	49.000	54.330	44.980
Close/Last	86.400	87.350	91.330	91.850	86.150	89.280	78.130	78.300	64.720	60.500	57.030	45.180