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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, 2015
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   12 13 13 13 13 13 13 13 13 13 13
Closed Higher   7 9 7 8 9 12 3 9 7 7 7
Exceeded High   6 8 7 7 6 10 3 8 6 6 7
Scenario Percentage   86% 89% 100% 88% 67% 83% 100% 89% 86% 86% 100%
Avg Max Increase   7.78% 4.23% 5.11% 7.75% 5.73% 4.03% 5.95% 7.00% 9.42% 7.25% 4.71%
Max Increase   17.80% 7.45% 11.14% 16.19% 15.29% 14.81% 10.89% 24.18% 20.78% 20.55% 11.59%
Avg Days To Max Increase   15 21 14 26 22 21 17 16 16 8 8
Avg Max Decline   -0.23% -2.43% -1.29% -2.38% -1.95% -4.35% -3.10% -2.12% -1.88% -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 7 8 7 17 14 15 8 6 2
2014 Contract Condition   Yes   Yes Yes Yes Yes   Yes Yes Yes  
Action   No   Yes Yes No Yes   Yes Yes Not Yet  
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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   12 13 13 13 13 13 13 13 13 13 13
Closed Lower   5 4 6 5 4 1 9 4 6 6 6
Penetrated Low   3 4 3 3 1 1 6 4 6 5 6
Scenario Percentage   60% 100% 50% 60% 25% 100% 67% 100% 100% 83% 100%
Avg Max Decline   7.31% 6.83% 6.79% 5.22% 4.40% 8.32% 7.74% 6.38% 10.28% 11.00% 4.83%
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 10 14 18 28 26 12 18 17 6 6
Avg Max Increase   -3.20% -0.27% -1.39% -2.79% -3.28% -0.45% -1.14% -1.33% -1.43% -1.21% -0.45%
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
2014 Contract Condition     Yes         Yes       Yes
Action     Yes         No       Yes
High 90.230 91.250 90.350 90.000 93.400 100.030 98.500 99.050 102.700 112.150 127.530 126.230
Low 86.780 89.280 87.350 87.000 89.885 91.885 96.400 96.800 98.000 100.700 110.550 115.135
Close/Last 90.150 90.200 88.100 90.000 92.835 98.000 98.450 98.200 102.700 111.400 124.000 117.680

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