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