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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 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 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 32 32 25 29 26 23 30 22 19 26
Exceeded High   23 28 25 23 25 20 20 22 18 14 19
Scenario Percentage   79% 88% 78% 92% 86% 77% 87% 73% 82% 74% 73%
Avg Max Increase   6.09% 6.20% 5.36% 6.82% 8.34% 11.28% 8.98% 9.00% 7.41% 6.96% 5.08%
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 19 18 21 19 20 18 14 11 9
Avg Max Decline   -1.32% -1.62% -2.14% -1.19% -2.13% -1.65% -2.24% -2.29% -2.92% -2.78% -0.40%
Max Decline   -4.06% -4.26% -8.50% -5.81% -7.70% -4.70% -9.25% -7.54% -11.11% -6.47% -2.54%
Avg Days to Max Decline   12 9 12 9 12 8 8 10 10 9 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 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 13 13 20 15 19 22 15 23 26 19
Penetrated Low   13 7 8 15 13 15 16 13 21 17 9
Scenario Percentage   81% 54% 62% 75% 87% 79% 73% 87% 91% 65% 47%
Avg Max Decline   3.55% 3.97% 6.09% 5.37% 7.82% 9.97% 8.50% 9.12% 9.20% 8.56% 5.80%
Max Decline   11.94% 5.95% 12.76% 13.51% 19.97% 23.38% 20.64% 24.32% 23.67% 29.00% 14.85%
Avg Days To Max Decline   15 17 15 12 18 16 15 19 16 11 6
Avg Max Increase   -2.78% -1.41% -1.33% -2.16% -2.06% -1.71% -1.60% -3.26% -3.16% -2.41% -0.09%
Max Increase   -6.84% -2.66% -3.97% -5.93% -8.07% -7.89% -5.83% -6.89% -11.85% -11.53% -0.97%
Avg Days to Max Increase   11 12 5 13 12 5 6 9 9 7 1
2021 Contract Condition     Yes               Yes  
Action     No               Not Yet  
High 75.830 79.900 81.880 81.750 83.000 88.000 94.650 102.300 105.600 116.500 120.550 108.130
Low 73.200 75.780 76.430 76.950 79.530 82.380 86.950 92.830 95.230 104.380 96.500 98.100
Close/Last 75.650 79.780 77.780 81.300 82.430 86.980 93.630 102.180 105.500 116.230 103.250 106.200

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