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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Lean Hogs(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   30 26 31 20 25 30 23 22 24 22 29
Exceeded High   24 22 26 17 21 21 21 17 22 19 17
Scenario Percentage   80% 85% 84% 85% 84% 70% 91% 77% 92% 86% 59%
Avg Max Increase   5.45% 7.32% 7.96% 9.03% 7.24% 8.73% 9.86% 10.78% 8.45% 8.43% 5.02%
Max Increase   13.88% 22.09% 30.19% 23.22% 18.19% 25.89% 44.70% 33.80% 32.65% 20.46% 13.06%
Avg Days To Max Increase   18 12 20 19 18 18 17 14 15 10 8
Avg Max Decline   -2.86% -1.03% -2.18% -2.24% -2.21% -1.83% -2.68% -2.42% -3.65% -1.81% -0.72%
Max Decline   -9.44% -5.80% -6.89% -5.74% -9.70% -6.60% -14.68% -6.03% -13.12% -10.55% -2.67%
Avg Days to Max Decline   12 5 10 10 7 9 9 10 9 4 2
2017 Contract Condition     Yes Yes Yes   Yes Yes Yes      
Action     Yes Yes No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 19 14 24 20 14 22 23 21 23 16
Penetrated Low   11 14 10 18 14 13 20 18 14 15 11
Scenario Percentage   73% 74% 71% 75% 70% 93% 91% 78% 67% 65% 69%
Avg Max Decline   4.17% 5.54% 5.08% 9.81% 9.05% 9.11% 10.42% 11.59% 11.80% 7.21% 3.55%
Max Decline   11.67% 11.81% 11.68% 27.61% 35.00% 34.02% 27.95% 24.81% 20.13% 22.06% 7.56%
Avg Days To Max Decline   13 18 15 17 17 20 16 20 18 9 7
Avg Max Increase   -1.40% -2.33% -1.83% -1.83% -2.03% -3.46% -2.88% -3.77% -3.55% -1.20% -1.35%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.52% -10.32% -9.65% -13.39% -9.42% -6.01% -3.25%
Avg Days to Max Increase   3 16 11 6 9 19 10 12 9 4 2
2017 Contract Condition   Yes       Yes       Yes Yes Yes
Action   Yes       Yes       Yes Yes Not Yet
High 63.500 63.900 66.750 67.130 68.950 68.830 66.750 68.720 70.470 72.250 71.330 64.450
Low 57.350 61.800 61.700 64.680 65.500 64.080 62.430 66.130 65.530 65.800 59.830 54.930
Close/Last 63.500 62.100 65.470 67.000 67.380 64.780 66.650 68.430 70.450 66.030 61.400 55.400

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