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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Lean Hogs(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   30 19 27 27 23 22 24 18 29 14 31
Exceeded High   23 15 24 19 18 17 18 15 25 11 14
Scenario Percentage   77% 79% 89% 70% 78% 77% 75% 83% 86% 79% 45%
Avg Max Increase   7.94% 8.92% 7.06% 7.32% 10.86% 10.43% 8.61% 8.95% 8.58% 10.96% 5.44%
Max Increase   29.21% 24.56% 19.08% 25.45% 46.98% 33.60% 33.21% 19.38% 21.17% 19.92% 12.68%
Avg Days To Max Increase   21 21 18 17 18 16 16 15 18 13 8
Avg Max Decline   -2.11% -2.19% -1.76% -1.89% -2.63% -1.72% -3.76% -2.43% -2.59% -2.52% -0.79%
Max Decline   -6.89% -6.79% -8.67% -7.42% -8.24% -6.30% -6.72% -8.87% -10.11% -5.94% -2.12%
Avg Days to Max Decline   15 9 6 8 14 8 12 9 6 6 1
2016 Contract Condition   Yes Yes   Yes   Yes   Yes   Yes Yes
Action   Yes Yes   Yes   No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   14 26 18 18 22 23 21 26 16 30 14
Penetrated Low   11 19 13 15 19 18 17 15 15 22 8
Scenario Percentage   79% 73% 72% 83% 86% 78% 81% 58% 94% 73% 57%
Avg Max Decline   5.85% 6.94% 9.41% 7.64% 11.59% 10.89% 9.13% 11.62% 9.37% 7.87% 8.49%
Max Decline   12.04% 19.90% 34.57% 31.77% 31.37% 24.36% 19.67% 22.35% 18.63% 44.65% 27.50%
Avg Days To Max Decline   16 16 17 20 18 20 15 19 14 10 8
Avg Max Increase   -0.84% -1.73% -1.88% -2.84% -2.62% -2.42% -3.08% -2.92% -3.32% -1.14% -1.24%
Max Increase   -3.18% -6.22% -4.57% -9.22% -7.09% -11.02% -7.27% -9.81% -13.84% -5.66% -4.62%
Avg Days to Max Increase   7 9 10 15 9 13 7 10 7 4 2
2016 Contract Condition       Yes   Yes   Yes   Yes    
Action       Yes   Yes   Yes   Yes    
High 65.000 63.800 64.430 64.880 64.750 65.470 67.330 64.930 58.450 58.330 48.150 51.700
Low 59.500 60.400 62.600 62.600 62.130 62.330 62.200 54.450 53.550 43.980 40.700 45.100
Close/Last 61.400 63.200 63.600 63.530 64.450 63.350 64.200 54.750 57.530 43.980 47.950 51.030

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