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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 23, 2023
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   32 20 26 26 22 17 23 18 30 16 27
Exceeded High   25 15 23 16 17 14 17 15 24 11 11
Scenario Percentage   78% 75% 88% 62% 77% 82% 74% 83% 80% 69% 41%
Avg Max Increase   7.75% 10.66% 7.34% 6.36% 8.04% 6.76% 7.11% 9.94% 9.18% 10.09% 4.45%
Max Increase   34.24% 39.74% 23.60% 11.35% 30.02% 12.13% 14.77% 32.05% 21.17% 19.92% 12.68%
Avg Days To Max Increase   21 20 17 16 15 13 16 17 18 13 7
Avg Max Decline   -1.93% -1.76% -1.64% -1.37% -3.00% -1.05% -3.64% -3.22% -2.82% -2.96% -0.83%
Max Decline   -5.66% -5.19% -7.83% -3.59% -8.24% -4.98% -6.72% -13.02% -11.48% -7.61% -2.12%
Avg Days to Max Decline   15 9 7 8 14 6 13 11 6 6 1
2022 Contract Condition   Yes Yes Yes   Yes   Yes     Yes  
Action   Yes Yes Yes   Yes   Yes     Not Yet  
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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 25 19 19 23 28 22 26 15 28 18
Penetrated Low   10 19 15 16 20 21 17 14 15 21 9
Scenario Percentage   77% 76% 79% 84% 87% 75% 77% 54% 100% 75% 50%
Avg Max Decline   6.88% 7.06% 7.27% 6.13% 11.90% 11.23% 9.85% 10.51% 9.00% 8.45% 7.82%
Max Decline   19.67% 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   17 17 16 21 18 18 15 18 15 10 9
Avg Max Increase   -1.32% -1.97% -1.78% -2.93% -2.80% -2.85% -3.18% -3.99% -3.12% -1.27% -1.38%
Max Increase   -8.67% -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   9 10 10 17 8 13 7 11 6 4 2
2022 Contract Condition         Yes   Yes   Yes Yes   Yes
Action         Yes   Yes   Yes Yes   Not Yet
High 77.850 80.530 86.500 89.450 90.550 87.330 87.650 88.080 91.350 89.080 89.800 87.580
Low 72.950 76.780 79.500 82.650 84.850 80.680 81.900 80.830 81.530 75.330 72.980 80.550
Close/Last 77.480 80.230 83.050 87.400 85.280 86.780 82.880 87.850 83.880 76.230 84.930 82.900

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