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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, 2019
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 24 29 22 21 23 22 30
Exceeded High   24 22 26 16 20 20 20 16 21 19 17
Scenario Percentage   80% 85% 84% 80% 83% 69% 91% 76% 91% 86% 57%
Avg Max Increase   5.45% 6.44% 6.88% 8.40% 6.69% 7.99% 8.12% 9.34% 8.68% 8.20% 5.28%
Max Increase   13.88% 15.25% 23.35% 23.22% 14.62% 25.89% 34.93% 23.92% 32.65% 18.10% 13.06%
Avg Days To Max Increase   18 12 20 19 18 18 17 15 15 10 7
Avg Max Decline   -2.86% -1.12% -2.13% -2.31% -1.98% -1.86% -2.59% -2.58% -3.52% -1.81% -0.57%
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 7 10 11 7 10 9 10 9 4 2
2018 Contract Condition     Yes Yes Yes             Yes
Action     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 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 21 15 23 24 22 23 15
Penetrated Low   11 14 10 18 15 14 21 19 15 13 11
Scenario Percentage   73% 74% 71% 75% 71% 93% 91% 79% 68% 57% 73%
Avg Max Decline   4.17% 5.54% 5.08% 9.81% 8.95% 9.13% 10.92% 12.03% 11.39% 6.36% 3.35%
Max Decline   11.67% 11.81% 11.68% 27.61% 35.00% 34.02% 27.95% 24.81% 20.13% 14.47% 6.87%
Avg Days To Max Decline   13 18 15 17 17 20 17 19 17 7 6
Avg Max Increase   -1.40% -2.33% -1.83% -1.83% -2.20% -3.39% -2.96% -3.61% -3.51% -1.01% -1.35%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.63% -10.32% -9.65% -13.39% -9.42% -4.97% -3.25%
Avg Days to Max Increase   3 16 11 6 10 21 10 12 8 4 2
2018 Contract Condition   Yes       Yes Yes Yes Yes Yes Yes  
Action   No       Yes Yes Yes Yes Yes Not Yet  
High 69.250 69.900 69.950 71.300 71.500 70.450 68.930 65.100 66.130 60.200 59.500 63.030
Low 65.650 66.600 67.580 69.230 68.180 64.150 62.500 60.900 58.480 50.130 47.830 50.150
Close/Last 69.130 69.030 69.600 70.030 70.200 65.880 64.530 63.280 59.780 50.730 50.430 62.180

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