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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 Sep 29, 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
2023 Contract Condition     Yes       Yes Yes        
Action     No       No 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   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
2023 Contract Condition   Yes   Yes   Yes     Yes Yes    
Action   Yes   Yes   No     Not Yet Not Yet    
High 84.730 84.980 85.500 84.550 81.350 80.100 78.100 77.800 77.580 78.700    
Low 81.230 82.530 82.350 75.330 75.850 67.330 70.900 73.830 70.780 71.630    
Close/Last 84.500 84.080 84.750 80.100 80.100 72.530 75.150 77.300 74.330 71.780    

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