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