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