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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 May 10, 2021
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 27 30 22 24 30 21 19 23 22 30
Exceeded High   24 23 25 17 20 19 19 14 21 19 18
Scenario Percentage   80% 85% 83% 77% 83% 63% 90% 74% 91% 86% 60%
Avg Max Increase   5.07% 6.19% 6.93% 10.15% 7.34% 7.74% 7.88% 7.58% 9.42% 10.20% 5.76%
Max Increase   13.88% 15.25% 23.35% 38.12% 17.76% 25.89% 34.93% 16.01% 48.00% 46.04% 13.06%
Avg Days To Max Increase   17 13 20 19 17 17 16 13 15 10 10
Avg Max Decline   -2.71% -1.15% -1.94% -2.24% -2.00% -1.61% -2.62% -2.19% -3.53% -1.67% -0.71%
Max Decline   -9.44% -5.80% -5.61% -5.74% -9.70% -4.32% -14.68% -6.03% -13.12% -10.55% -2.74%
Avg Days to Max Decline   11 7 10 11 7 10 8 11 10 4 2
2020 Contract Condition     Yes   Yes   Yes     Yes Yes Yes
Action     Yes   No   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 18 15 22 21 14 24 26 22 23 15
Penetrated Low   11 14 11 16 15 13 22 20 15 14 11
Scenario Percentage   73% 78% 73% 73% 71% 93% 92% 77% 68% 61% 73%
Avg Max Decline   4.24% 5.04% 6.41% 9.07% 7.66% 7.21% 10.90% 12.24% 11.39% 5.77% 3.63%
Max Decline   11.76% 11.81% 19.69% 19.89% 21.34% 14.40% 27.95% 24.81% 20.13% 14.47% 8.39%
Avg Days To Max Decline   14 18 16 17 16 21 18 19 17 8 7
Avg Max Increase   -0.71% -2.19% -2.41% -2.09% -1.79% -3.63% -3.01% -4.22% -3.51% -1.94% -1.35%
Max Increase   -2.27% -5.98% -8.29% -7.24% -4.63% -10.32% -9.65% -15.71% -9.42% -6.19% -3.25%
Avg Days to Max Increase   7 16 11 7 9 22 10 13 8 6 2
2020 Contract Condition   Yes   Yes   Yes   Yes Yes      
Action   Yes   Yes   Yes   Yes No      
High 77.330 77.380 75.500 75.680 72.250 69.980 62.700 61.330 54.980 52.080 56.700 73.450
Low 74.130 71.330 71.780 65.300 65.850 53.580 48.000 49.530 46.480 47.600 48.050 53.800
Close/Last 77.080 74.000 75.080 66.720 67.130 56.900 57.800 52.330 49.350 49.630 53.600 72.800

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