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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, 2015
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   40 43 44 44 44 45 45 45 45 45 45
Closed Higher   20 21 24 15 25 25 32 20 28 16 22
Exceeded High   17 11 18 13 20 21 26 15 22 13 14
Scenario Percentage   85% 52% 75% 87% 80% 84% 81% 75% 79% 81% 64%
Avg Max Increase   9.78% 12.51% 8.05% 7.92% 7.90% 8.77% 7.19% 10.15% 9.76% 10.38% 5.70%
Max Increase   48.25% 35.05% 22.84% 13.01% 15.01% 19.24% 22.86% 28.25% 34.28% 20.52% 11.09%
Avg Days To Max Increase   23 17 18 15 22 19 18 19 16 12 9
Avg Max Decline   -2.06% -1.20% -3.57% -2.12% -2.06% -1.60% -3.31% -1.86% -2.31% -1.73% -0.79%
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   9 9 10 7 9 10 11 8 7 6 2
2014 Contract Condition   Yes Yes   Yes Yes Yes Yes   Yes Yes Yes
Action   Yes No   Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   40 43 44 44 44 45 45 45 45 45 45
Closed Lower   20 22 20 28 18 20 13 24 17 29 23
Penetrated Low   17 15 17 16 15 16 10 15 14 23 13
Scenario Percentage   85% 68% 85% 57% 83% 80% 77% 63% 82% 79% 57%
Avg Max Decline   9.73% 9.79% 7.09% 7.42% 6.85% 4.88% 8.18% 8.51% 10.03% 9.19% 4.82%
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 17 21 10 6
Avg Max Increase   -2.41% -1.70% -1.84% -2.36% -3.12% -3.93% -1.58% -2.95% -1.79% -1.31% -0.96%
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
2014 Contract Condition       Yes         Yes      
Action       No         Yes      
High 83.450 85.350 86.500 85.900 86.250 90.385 96.450 94.280 94.230 94.950 106.850 127.300
Low 81.500 81.250 83.900 83.480 83.550 85.980 88.280 91.730 90.000 89.885 92.780 106.700
Close/Last 83.250 85.300 85.335 83.980 86.000 89.250 93.385 93.900 90.680 94.800 106.850 126.000

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