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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 Jun 08, 2020
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   31 19 26 27 22 20 22 18 30 15 29
Exceeded High   24 15 23 18 17 15 17 15 25 12 12
Scenario Percentage   77% 79% 88% 67% 77% 75% 77% 83% 83% 80% 41%
Avg Max Increase   7.63% 10.30% 7.29% 6.13% 8.66% 7.56% 8.83% 9.29% 8.98% 10.41% 4.86%
Max Increase   34.24% 39.74% 23.60% 11.35% 30.02% 18.83% 33.21% 19.38% 21.17% 19.71% 12.48%
Avg Days To Max Increase   21 20 17 16 16 14 16 16 18 13 7
Avg Max Decline   -1.98% -2.19% -1.56% -1.82% -2.74% -1.27% -3.67% -2.68% -2.75% -2.95% -0.76%
Max Decline   -5.66% -6.79% -7.83% -7.42% -8.24% -4.98% -6.72% -8.87% -11.48% -7.61% -2.12%
Avg Days to Max Decline   16 10 6 7 14 5 13 13 6 6 1
2019 Contract Condition   Yes Yes Yes Yes         Yes    
Action   Yes Yes Yes No         No    
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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   13 26 19 18 23 25 23 26 15 29 16
Penetrated Low   10 20 14 15 20 20 19 14 15 22 8
Scenario Percentage   77% 77% 74% 83% 87% 80% 83% 54% 100% 76% 50%
Avg Max Decline   6.12% 6.90% 6.86% 6.18% 12.10% 11.66% 9.74% 10.89% 9.37% 7.86% 8.25%
Max Decline   12.04% 19.90% 20.49% 13.28% 31.37% 24.36% 19.67% 22.33% 18.63% 44.65% 27.50%
Avg Days To Max Decline   15 17 16 21 18 19 15 20 14 10 9
Avg Max Increase   -0.61% -1.79% -2.02% -2.96% -2.71% -2.95% -3.19% -3.85% -3.32% -1.18% -1.26%
Max Increase   -1.81% -6.22% -5.04% -9.22% -7.09% -12.41% -8.02% -9.81% -13.84% -5.66% -4.62%
Avg Days to Max Increase   7 9 11 18 9 13 7 10 7 3 2
2019 Contract Condition           Yes Yes Yes Yes   Yes Yes
Action           Yes Yes Yes Yes   Yes Yes
High 63.600 63.850 64.680 84.950 90.200 85.330 79.580 79.980 69.950 72.730 72.580 67.650
Low 61.500 61.530 61.550 63.880 69.980 76.850 68.350 66.400 58.630 57.780 63.080 60.050
Close/Last 62.430 63.280 64.550 72.980 81.980 77.780 71.150 70.280 63.380 72.600 66.000 62.030

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