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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Lean Hogs(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   39 42 43 43 43 44 44 44 44 44 44
Closed Higher   19 20 24 14 24 24 31 20 27 15 21
Exceeded High   16 11 18 12 19 21 25 15 21 12 12
Scenario Percentage   84% 55% 75% 86% 79% 88% 81% 75% 78% 80% 57%
Avg Max Increase   10.30% 12.51% 8.05% 7.57% 7.89% 8.77% 7.43% 10.15% 8.59% 9.49% 5.65%
Max Increase   48.25% 35.05% 22.84% 13.01% 15.01% 19.24% 22.86% 28.25% 26.30% 16.23% 11.09%
Avg Days To Max Increase   23 17 18 14 22 19 18 19 15 13 8
Avg Max Decline   -2.09% -1.20% -3.57% -2.29% -2.11% -1.60% -3.27% -1.86% -2.31% -1.81% -0.88%
Max Decline   -7.98% -8.14% -7.46% -4.33% -5.29% -7.71% -8.74% -3.97% -8.38% -4.81% -1.86%
Avg Days to Max Decline   8 9 10 8 10 10 10 8 8 5 2
2013 Contract Condition   Yes Yes Yes     Yes Yes   Yes    
Action   Yes Yes No     Yes No   No    
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   39 42 43 43 43 44 44 44 44 44 44
Closed Lower   20 22 19 28 18 20 13 23 17 29 23
Penetrated Low   17 15 17 16 15 16 10 14 14 23 12
Scenario Percentage   85% 68% 89% 57% 83% 80% 77% 61% 82% 79% 52%
Avg Max Decline   9.73% 9.79% 7.09% 7.42% 6.85% 4.88% 8.18% 9.06% 10.03% 9.18% 5.13%
Max Decline   23.15% 18.78% 17.37% 18.93% 19.03% 10.59% 20.97% 17.21% 24.53% 32.35% 21.30%
Avg Days To Max Decline   18 16 15 16 16 18 13 18 21 10 6
Avg Max Increase   -2.41% -1.70% -1.84% -2.36% -3.12% -3.93% -1.58% -3.04% -1.79% -1.31% -0.88%
Max Increase   -8.70% -6.77% -7.07% -11.23% -7.40% -15.59% -4.46% -6.33% -5.17% -3.20% -2.51%
Avg Days to Max Increase   8 7 6 8 10 14 3 10 14 3 2
2013 Contract Condition         Yes Yes     Yes   Yes Yes
Action         Yes No     Yes   Yes Not Yet
High 85.385 83.480 85.050 90.900 90.335 88.600 91.000 92.835 92.180 90.950 90.150 82.350
Low 80.150 79.475 81.750 84.180 85.850 84.030 86.450 87.700 88.030 86.885 80.635 76.800
Close/Last 81.650 83.480 84.885 90.300 88.385 87.550 90.500 91.780 88.730 89.350 81.000 80.600

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