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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 Dec 30, 2016
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   14 15 15 15 15 15 15 15 15 15 15
Closed Higher   8 9 9 9 9 13 4 10 8 8 9
Exceeded High   7 8 9 8 6 10 4 9 7 6 9
Scenario Percentage   88% 89% 100% 89% 67% 77% 100% 90% 88% 75% 100%
Avg Max Increase   7.10% 4.23% 4.51% 7.06% 5.73% 4.03% 5.79% 6.65% 8.61% 7.22% 4.12%
Max Increase   17.80% 7.45% 11.14% 16.19% 15.29% 14.81% 10.89% 24.18% 20.78% 20.41% 11.02%
Avg Days To Max Increase   16 21 13 25 22 21 19 16 16 8 7
Avg Max Decline   -0.29% -2.43% -1.74% -2.19% -1.95% -4.35% -2.77% -2.25% -1.73% -3.03% -0.75%
Max Decline   -1.50% -3.35% -5.91% -5.45% -3.84% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 11 7 7 17 11 15 7 6 2
2016 Contract Condition       Yes Yes     Yes Yes   Yes Yes
Action       Yes Yes     Yes Yes   Not Yet 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   14 15 15 15 15 15 15 15 15 15 15
Closed Lower   6 6 6 6 6 2 10 5 7 7 6
Penetrated Low   3 6 3 3 3 1 7 5 7 5 6
Scenario Percentage   50% 100% 50% 50% 50% 50% 70% 100% 100% 71% 100%
Avg Max Decline   7.31% 5.43% 6.79% 5.22% 6.64% 8.32% 9.05% 8.90% 11.44% 11.00% 4.73%
Max Decline   17.13% 12.24% 13.95% 10.95% 8.68% 8.32% 16.91% 18.96% 19.48% 27.76% 6.09%
Avg Days To Max Decline   14 15 14 18 20 26 12 19 18 6 6
Avg Max Increase   -3.20% -1.24% -1.39% -2.79% -3.36% -0.45% -1.05% -1.43% -1.42% -1.21% -0.45%
Max Increase   -6.90% -4.75% -3.18% -4.93% -6.36% -0.45% -3.47% -4.41% -4.13% -2.80% -1.85%
Avg Days to Max Increase   21 7 6 3 22 1 6 19 12 4 1
2016 Contract Condition   Yes Yes     Yes Yes     Yes    
Action   No Yes     Yes No     Yes    
High 78.250 77.800 78.230 76.750 77.900 78.650 72.930 74.500 76.850 77.585 79.800 77.980
Low 77.000 72.050 73.385 73.250 75.230 71.730 66.300 67.680 72.335 74.300 76.085 73.180
Close/Last 77.480 75.980 75.530 75.730 76.980 72.600 69.000 73.650 76.850 76.600 77.230 77.900

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