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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 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 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   30 31 33 25 30 26 23 29 21 18 27
Exceeded High   24 27 26 23 26 20 19 21 17 13 20
Scenario Percentage   80% 87% 79% 92% 87% 77% 83% 72% 81% 72% 74%
Avg Max Increase   6.00% 5.90% 5.55% 7.56% 8.72% 10.66% 8.64% 9.17% 7.55% 7.11% 4.64%
Max Increase   15.73% 17.68% 16.75% 21.48% 27.30% 31.05% 17.33% 29.30% 33.47% 23.11% 13.42%
Avg Days To Max Increase   21 18 19 19 21 19 21 19 14 10 7
Avg Max Decline   -1.51% -1.53% -2.18% -1.01% -2.08% -1.84% -2.29% -2.40% -2.55% -2.90% -0.43%
Max Decline   -5.91% -4.26% -8.50% -3.68% -7.70% -4.70% -9.25% -7.54% -11.11% -6.47% -2.54%
Avg Days to Max Decline   12 8 12 9 11 9 8 11 10 9 2
2022 Contract Condition   Yes   Yes Yes Yes Yes Yes       Yes
Action   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 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   15 14 12 20 14 19 22 16 24 27 18
Penetrated Low   12 7 8 15 13 15 16 14 21 17 9
Scenario Percentage   80% 50% 67% 75% 93% 79% 73% 88% 88% 63% 50%
Avg Max Decline   3.54% 3.97% 6.09% 5.37% 7.82% 9.97% 8.50% 9.18% 9.20% 8.54% 5.71%
Max Decline   11.94% 5.95% 12.76% 13.51% 19.97% 23.38% 20.64% 24.32% 23.67% 29.00% 14.46%
Avg Days To Max Decline   14 17 15 12 18 16 15 18 16 11 6
Avg Max Increase   -2.44% -1.41% -1.33% -2.16% -2.06% -1.71% -1.60% -3.06% -3.16% -2.41% -0.09%
Max Increase   -5.19% -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   8 12 5 13 12 5 6 9 9 7 1
2022 Contract Condition     Yes           Yes Yes Yes  
Action     No           Yes No Not Yet  
High 92.500 93.350 93.900 96.700 98.430 105.000 118.200 123.650 121.250 110.930 111.050 120.900
Low 88.380 85.030 87.500 90.850 92.000 95.680 104.100 107.550 109.400 98.650 100.250 102.150
Close/Last 90.300 93.000 91.100 95.200 97.300 104.750 111.480 118.450 109.650 106.430 102.100 120.650

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