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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, 2018
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 29 24 24 26 19 28 24 33 15 26
Exceeded High   21 23 19 17 19 15 23 19 24 10 18
Scenario Percentage   84% 79% 79% 71% 73% 79% 82% 79% 73% 67% 69%
Avg Max Increase   6.23% 6.36% 9.01% 10.46% 7.73% 8.76% 8.67% 9.62% 7.91% 9.82% 4.31%
Max Increase   20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 19.64% 21.88% 25.48% 17.74% 11.94%
Avg Days To Max Increase   15 16 22 19 16 17 19 17 16 19 8
Avg Max Decline   -1.29% -1.68% -2.98% -1.47% -3.30% -2.39% -2.38% -2.32% -2.87% -3.02% -0.65%
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   5 9 14 7 9 9 6 7 7 5 2
2017 Contract Condition   Yes Yes   Yes   Yes   Yes Yes Yes Yes
Action   Yes Yes   No   No   Yes Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 16 20 20 19 26 17 21 12 30 18
Penetrated Low   9 14 17 15 16 16 14 17 10 17 13
Scenario Percentage   50% 88% 85% 75% 84% 62% 82% 81% 83% 57% 72%
Avg Max Decline   10.25% 6.92% 10.68% 9.95% 7.84% 8.77% 7.26% 6.16% 9.22% 8.58% 5.29%
Max Decline   31.51% 27.40% 27.67% 20.29% 17.84% 20.45% 14.37% 13.98% 28.71% 24.75% 10.85%
Avg Days To Max Decline   18 18 19 16 15 16 12 15 17 10 9
Avg Max Increase   -2.06% -2.23% -2.74% -1.86% -2.52% -2.56% -3.23% -3.56% -2.49% -2.45% -0.97%
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 9 10 8 8 12 13 7 5 2
2017 Contract Condition       Yes   Yes   Yes        
Action       Yes   Yes   Yes        
High 66.800 67.180 67.500 68.280 70.135 67.635 62.435 61.900 55.030 57.335 66.585 69.300
Low 65.000 65.350 64.975 65.680 65.030 58.850 57.880 48.600 47.530 52.230 53.550 62.550
Close/Last 65.975 66.050 67.180 66.725 67.350 59.150 61.335 48.900 54.630 55.230 66.150 69.085

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