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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 Sep 16, 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   22 27 29 34 22 32 24 24 28 20 20
Exceeded High   19 24 24 28 20 28 20 21 21 14 13
Scenario Percentage   86% 89% 83% 82% 91% 88% 83% 88% 75% 70% 65%
Avg Max Increase   5.63% 6.08% 6.08% 5.80% 8.15% 8.44% 10.66% 8.75% 9.35% 8.42% 4.12%
Max Increase   10.46% 13.33% 17.72% 19.47% 22.94% 24.71% 30.88% 20.93% 30.49% 30.02% 10.69%
Avg Days To Max Increase   15 23 20 19 17 20 18 17 18 6 8
Avg Max Decline   -1.93% -1.77% -1.82% -2.84% -1.11% -2.03% -1.85% -2.08% -2.29% -1.44% -1.00%
Max Decline   -6.32% -6.77% -5.05% -8.98% -3.43% -7.89% -5.54% -7.21% -7.13% -3.75% -4.18%
Avg Days to Max Decline   11 12 9 12 7 10 7 9 13 3 2
2022 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes     Yes
Action   Yes Yes   Yes Yes Yes Yes No     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   22 18 16 11 23 13 21 21 17 25 25
Penetrated Low   10 15 9 7 16 12 17 17 15 18 13
Scenario Percentage   45% 83% 56% 64% 70% 92% 81% 81% 88% 72% 52%
Avg Max Decline   4.82% 4.22% 3.78% 7.16% 5.60% 8.62% 10.19% 8.76% 8.99% 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   15 17 15 14 14 21 15 14 20 12 7
Avg Max Increase   -2.34% -2.68% -1.59% -1.22% -2.42% -2.69% -1.75% -1.52% -3.70% -1.74% -0.55%
Max Increase   -6.67% -6.72% -3.32% -4.47% -7.12% -8.90% -7.94% -6.31% -11.23% -5.60% -3.86%
Avg Days to Max Increase   12 8 12 5 12 19 7 6 8 6 4
2022 Contract Condition       Yes           Yes Yes  
Action       No           Yes Not Yet  
High 94.950 94.250 95.300 95.800 97.880 99.330 106.900 120.580 126.950 123.550 112.850 114.000
Low 90.000 90.100 86.680 88.600 91.900 92.680 96.050 105.050 108.200 109.850 97.380 103.530
Close/Last 91.800 92.530 95.030 92.280 96.000 98.080 105.750 112.980 120.880 110.030 108.000 109.130

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