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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Lean Hogs(CME) as of Jan 01, 2020
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   29 31 33 24 28 25 24 31 22 21 25
Exceeded High   22 27 25 23 24 20 21 23 18 15 19
Scenario Percentage   76% 87% 76% 96% 86% 80% 88% 74% 82% 71% 76%
Avg Max Increase   6.17% 6.39% 5.25% 6.50% 7.96% 11.27% 8.80% 9.10% 8.22% 7.25% 5.44%
Max Increase   15.73% 17.68% 16.75% 16.34% 27.30% 31.05% 17.33% 29.30% 33.47% 23.24% 13.42%
Avg Days To Max Increase   21 19 18 17 20 18 20 19 15 11 9
Avg Max Decline   -1.40% -1.63% -2.19% -1.24% -2.22% -1.79% -1.92% -2.62% -2.91% -2.94% -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   12 9 11 9 12 9 7 10 10 8 2
2019 Contract Condition   Yes Yes Yes     Yes Yes Yes     Yes
Action   Yes Yes No     Yes No No     Not Yet
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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   16 14 12 21 16 20 21 14 23 24 20
Penetrated Low   13 9 7 16 12 16 15 12 21 17 12
Scenario Percentage   81% 64% 58% 76% 75% 80% 71% 86% 91% 71% 60%
Avg Max Decline   3.55% 4.90% 5.42% 5.75% 6.80% 9.58% 7.69% 7.85% 8.94% 8.57% 5.28%
Max Decline   11.94% 9.44% 12.76% 13.51% 19.33% 23.38% 19.72% 17.04% 23.67% 29.00% 14.85%
Avg Days To Max Decline   15 17 12 13 17 15 15 18 16 10 7
Avg Max Increase   -2.78% -3.12% -0.96% -2.22% -1.56% -1.54% -1.81% -2.96% -3.36% -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 12 11 5 6 10 10 7 2
2019 Contract Condition         Yes Yes       Yes Yes  
Action         Yes Yes       Yes Not Yet  
High 78.330 79.750 81.730 84.750 84.680 83.700 80.980 102.980 102.850 97.800 87.230 87.500
Low 70.400 77.230 77.900 79.550 81.700 78.080 75.430 77.800 90.280 85.780 73.950 75.500
Close/Last 77.380 79.030 80.680 83.580 82.480 78.250 78.580 93.050 93.080 86.630 76.000 79.330

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