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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 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 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 31 23 24 29 21 20
Exceeded High   18 23 24 27 20 27 19 22 22 15 13
Scenario Percentage   86% 88% 83% 82% 91% 87% 83% 92% 76% 71% 65%
Avg Max Increase   5.74% 6.21% 6.08% 5.59% 7.22% 8.02% 10.58% 9.17% 9.21% 8.21% 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 16 19 18 17 17 6 8
Avg Max Decline   -1.68% -1.55% -1.82% -2.82% -1.26% -2.08% -1.73% -2.01% -2.21% -1.68% -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 10 7 8 14 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 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 14 22 21 16 24 25
Penetrated Low   11 16 10 7 16 12 17 17 14 18 13
Scenario Percentage   48% 84% 63% 58% 70% 86% 77% 81% 88% 75% 52%
Avg Max Decline   5.35% 4.28% 3.76% 7.16% 5.60% 8.62% 10.19% 8.76% 8.81% 9.24% 4.36%
Max Decline   15.27% 12.12% 6.64% 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 7
Avg Max Increase   -2.92% -2.84% -1.92% -1.22% -2.42% -2.69% -1.75% -1.52% -3.95% -1.74% -0.55%
Max Increase   -8.66% -6.72% -4.88% -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 4
2021 Contract Condition       Yes               Yes
Action       No               Not Yet
High 76.780 76.780 81.200 83.500 82.450 83.400 88.750 95.930 105.230 109.250 119.700 123.600
Low 74.080 74.080 76.500 77.280 77.630 79.530 83.000 87.450 93.480 98.850 107.880 99.780
Close/Last 74.930 76.230 81.080 78.600 81.850 82.980 87.550 94.550 104.680 109.250 119.350 107.480

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