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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 21, 2022
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 31 22 25 30 21 18 24 22 31
Exceeded High   24 23 26 17 21 19 19 14 21 20 19
Scenario Percentage   80% 85% 84% 77% 84% 63% 90% 78% 88% 91% 61%
Avg Max Increase   5.17% 6.47% 7.19% 10.54% 7.53% 7.89% 7.75% 7.58% 9.42% 9.90% 5.51%
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   18 13 20 20 18 17 16 13 15 9 9
Avg Max Decline   -2.36% -1.09% -1.86% -1.92% -2.14% -1.47% -2.64% -2.19% -3.53% -2.09% -0.66%
Max Decline   -6.89% -5.80% -5.61% -5.30% -9.70% -4.32% -14.68% -6.03% -13.12% -10.55% -2.74%
Avg Days to Max Decline   11 7 9 10 7 10 8 11 10 4 2
2021 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes Yes   No 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 14 22 20 14 24 27 21 23 14
Penetrated Low   11 14 10 16 15 13 22 20 14 14 10
Scenario Percentage   73% 78% 71% 73% 75% 93% 92% 74% 67% 61% 71%
Avg Max Decline   4.24% 5.04% 6.89% 9.07% 7.66% 7.21% 10.90% 12.24% 11.33% 5.77% 3.65%
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 17 17 16 21 18 19 16 8 7
Avg Max Increase   -0.71% -2.19% -1.95% -2.09% -1.79% -3.63% -3.01% -4.22% -3.21% -1.94% -1.29%
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 7 6 2
2021 Contract Condition                 Yes      
Action                 No      
High 69.000 69.450 71.150 75.750 79.930 85.350 89.000 94.450 97.980 94.050 91.730 92.280
Low 66.350 66.550 68.500 70.880 75.050 78.480 80.750 87.850 80.900 83.130 83.330 79.780
Close/Last 67.150 69.300 71.000 74.980 78.700 84.950 88.700 94.080 87.280 88.030 88.800 91.600

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US stock indices have still continued into new all-time highs, and some international stock markets have also been trending higher. Are there certain times of the year that have consistently provided incredible opportunities? But which way and when? MRCI has just released the 2024 Historical Indices Report, complete with seasonal patterns not only for US futures on S&P500, S&P MidCap 400, NASDAQ 100, Russell 2000, and DJIA but also for futures on several major international indices including the FT-SE 100, CAC 40, Nikkei 225, DAX, Euro STOXX 50, Swiss Market Index, SPI 200, and Hang Seng Index.