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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Lean Hogs(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   41 43 43 44 45 45 45 45 45 45 45
Closed Higher   24 27 23 22 27 18 29 23 34 14 27
Exceeded High   20 20 18 16 20 14 24 18 26 9 19
Scenario Percentage   83% 74% 78% 73% 74% 78% 83% 78% 76% 64% 70%
Avg Max Increase   6.38% 6.57% 8.89% 10.53% 7.64% 9.77% 8.85% 8.94% 7.96% 10.14% 4.45%
Max Increase   20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 19.64% 21.15% 24.91% 17.74% 12.03%
Avg Days To Max Increase   16 16 22 19 16 19 20 16 17 19 8
Avg Max Decline   -1.28% -1.81% -2.97% -1.61% -3.34% -2.24% -2.37% -2.20% -3.02% -2.55% -0.53%
Max Decline   -6.86% -6.80% -13.45% -5.74% -7.58% -5.21% -7.32% -10.34% -7.69% -5.97% -2.10%
Avg Days to Max Decline   6 10 13 8 9 9 7 8 9 4 2
2014 Contract Condition       Yes     Yes Yes Yes     Yes
Action       Yes     Yes Yes No     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   41 43 43 44 45 45 45 45 45 45 45
Closed Lower   16 16 19 21 18 27 16 21 11 31 17
Penetrated Low   9 14 16 16 15 16 13 16 10 17 12
Scenario Percentage   56% 88% 84% 76% 83% 59% 81% 76% 91% 55% 71%
Avg Max Decline   10.25% 6.92% 10.61% 9.73% 6.99% 8.77% 8.54% 5.23% 9.22% 7.32% 4.94%
Max Decline   31.51% 27.40% 27.67% 20.29% 16.96% 20.45% 17.50% 9.50% 28.71% 16.93% 10.85%
Avg Days To Max Decline   18 18 19 16 14 16 14 16 17 10 9
Avg Max Increase   -2.06% -2.23% -2.59% -1.79% -2.21% -2.56% -2.78% -3.69% -2.49% -2.50% -0.98%
Max Increase   -4.58% -6.92% -6.74% -7.74% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -3.28%
Avg Days to Max Increase   11 9 8 11 7 8 13 16 7 6 2
2014 Contract Condition   Yes Yes     Yes       Yes Yes  
Action   No Yes     No       Yes Yes  
High 85.300 82.500 82.000 83.800 84.885 84.950 86.550 90.350 94.900 92.500 90.980 87.430
Low 80.300 78.200 79.500 79.150 82.450 82.180 82.680 86.250 87.730 89.400 84.650 84.500
Close/Last 81.550 81.200 81.150 83.800 83.800 82.950 86.500 88.900 92.030 90.585 85.430 86.230

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