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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   11 12 12 12 12 12 12 12 12 12 12
Closed Higher   6 9 6 7 8 11 3 8 6 6 7
Exceeded High   6 8 6 6 6 9 3 7 5 6 7
Scenario Percentage   100% 89% 100% 86% 75% 82% 100% 88% 83% 100% 100%
Avg Max Increase   7.78% 4.23% 4.11% 7.75% 5.73% 4.00% 5.95% 4.55% 8.41% 7.25% 4.71%
Max Increase   17.80% 7.45% 7.33% 16.19% 15.29% 14.81% 10.89% 14.19% 20.78% 20.55% 11.59%
Avg Days To Max Increase   15 21 12 26 22 20 17 16 15 8 8
Avg Max Decline   -0.23% -2.43% -1.49% -2.61% -1.95% -4.65% -3.10% -2.15% -2.11% -3.03% -0.73%
Max Decline   -1.50% -3.35% -4.37% -5.45% -3.84% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 8 10 7 17 14 17 9 6 2
2013 Contract Condition   Yes Yes Yes   Yes Yes   Yes   Yes Yes
Action   Yes Yes Yes   Yes No   No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   11 12 12 12 12 12 12 12 12 12 12
Closed Lower   5 3 6 5 4 1 8 4 6 6 5
Penetrated Low   3 3 3 3 1 1 6 4 6 5 5
Scenario Percentage   60% 100% 50% 60% 25% 100% 75% 100% 100% 83% 100%
Avg Max Decline   7.31% 8.69% 6.79% 5.22% 4.40% 8.32% 7.74% 6.38% 10.28% 11.00% 4.90%
Max Decline   17.13% 12.24% 13.95% 10.95% 4.40% 8.32% 14.53% 9.08% 19.48% 27.76% 6.09%
Avg Days To Max Decline   14 13 14 18 28 26 12 18 17 6 5
Avg Max Increase   -3.20% -0.42% -1.39% -2.79% -3.28% -0.45% -1.14% -1.33% -1.43% -1.21% -0.49%
Max Increase   -6.90% -0.98% -3.18% -4.93% -3.28% -0.45% -3.47% -4.41% -4.13% -2.80% -1.85%
Avg Days to Max Increase   21 2 6 3 40 1 6 17 14 4 1
2013 Contract Condition         Yes     Yes   Yes    
Action         No     Yes   Yes    
High 87.000 89.400 96.750 97.250 97.000 98.500 99.200 98.950 97.280 96.750 90.450 90.500
Low 84.400 86.300 89.000 94.500 93.000 95.085 94.950 95.500 94.150 88.180 86.385 85.450
Close/Last 86.900 89.400 96.400 97.250 95.650 97.750 98.850 95.730 96.385 89.300 89.550 90.100

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