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