MRCI's ScenarioSM Study

ScenarioSM Study for August Lean Hogs(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		28	30	32	25	29	24	23	30	22	22	25
Exceeded High		21	26	25	24	24	19	21	23	18	16	19
Scenario Percentage		75%	87%	78%	96%	83%	79%	91%	77%	82%	73%	76%
Avg Max Increase		6.11%	6.44%	5.25%	6.63%	7.96%	10.23%	8.80%	9.10%	8.22%	7.85%	5.44%
Max Increase		15.73%	17.68%	16.75%	16.34%	27.30%	23.28%	17.33%	29.30%	33.47%	23.24%	13.42%
Avg Days To Max Increase		20	18	18	17	20	18	20	19	15	12	9
Avg Max Decline		-1.40%	-1.64%	-2.19%	-1.18%	-2.22%	-1.83%	-1.92%	-2.62%	-2.91%	-3.00%	-0.54%
Max Decline		-4.06%	-4.26%	-8.50%	-5.81%	-7.70%	-4.70%	-9.25%	-7.54%	-11.11%	-6.47%	-2.58%
Avg Days to Max Decline		11	9	11	8	12	9	7	10	10	8	2
2018 Contract Condition		Yes	Yes	Yes	Yes					Yes
Action		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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		17	15	13	20	15	21	22	15	23	23	20
Penetrated Low		13	10	8	15	11	17	16	13	21	17	12
Scenario Percentage		76%	67%	62%	75%	73%	81%	73%	87%	91%	74%	60%
Avg Max Decline		3.55%	5.05%	5.30%	5.57%	7.09%	10.47%	9.35%	9.94%	9.04%	8.57%	5.28%
Max Decline		11.94%	9.44%	12.76%	13.51%	19.33%	24.72%	34.26%	35.01%	23.67%	29.00%	14.85%
Avg Days To Max Decline		15	15	11	12	17	16	16	17	15	10	7
Avg Max Increase		-2.78%	-3.65%	-0.84%	-2.27%	-1.38%	-1.53%	-2.01%	-2.79%	-3.40%	-2.41%	-0.49%
Max Increase		-6.84%	-12.46%	-2.55%	-5.93%	-4.28%	-7.89%	-5.83%	-5.18%	-11.85%	-11.53%	-4.54%
Avg Days to Max Increase		11	12	2	13	11	4	7	9	10	7	2
2018 Contract Condition						Yes	Yes	Yes	Yes		Yes	Yes
Action						Yes	Yes	Yes	No		Yes	Yes
High	78.300	78.450	81.050	82.950	83.980	85.000	84.180	82.550	81.000	78.900	80.000	77.180
Low	74.480	75.830	78.380	79.300	80.780	81.880	79.630	75.000	72.450	74.130	73.280	60.880
Close/Last	76.000	78.150	80.950	82.300	83.330	82.530	82.480	77.280	75.880	77.030	76.450	61.130