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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   42 43 45 45 45 45 45 45 45 45 45
Closed Higher   22 18 29 25 35 22 32 21 25 25 25
Exceeded High   17 17 22 19 29 21 26 20 22 19 12
Scenario Percentage   77% 94% 76% 76% 83% 95% 81% 95% 88% 76% 48%
Avg Max Increase   7.14% 6.32% 6.28% 6.86% 6.78% 8.80% 8.85% 9.26% 10.07% 7.59% 4.88%
Max Increase   20.43% 11.32% 11.38% 18.26% 21.48% 29.71% 27.28% 19.19% 23.06% 17.35% 8.26%
Avg Days To Max Increase   17 13 23 16 19 17 19 16 18 13 10
Avg Max Decline   -2.91% -1.58% -1.88% -1.77% -2.91% -1.45% -2.58% -1.87% -2.00% -1.58% -0.50%
Max Decline   -7.45% -4.09% -7.01% -5.95% -8.69% -4.80% -7.58% -6.47% -8.16% -4.44% -2.21%
Avg Days to Max Decline   8 8 13 9 12 7 13 8 6 3 2
2014 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes    
Action     Yes Yes No Yes   Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   42 43 45 45 45 45 45 45 45 45 45
Closed Lower   20 25 16 20 10 22 13 24 20 20 20
Penetrated Low   16 12 13 13 6 14 10 18 16 17 13
Scenario Percentage   80% 48% 81% 65% 60% 64% 77% 75% 80% 85% 65%
Avg Max Decline   6.18% 6.88% 6.08% 5.17% 8.30% 6.24% 8.11% 10.73% 10.14% 8.21% 5.36%
Max Decline   16.03% 18.42% 15.95% 11.76% 15.50% 13.32% 22.26% 25.20% 30.01% 28.52% 12.55%
Avg Days To Max Decline   14 15 19 17 16 15 19 17 15 12 6
Avg Max Increase   -1.44% -2.41% -2.49% -3.42% -1.95% -2.42% -1.58% -1.50% -2.46% -2.36% -0.57%
Max Increase   -5.41% -8.89% -5.64% -11.18% -6.86% -6.79% -6.58% -7.24% -6.94% -7.67% -4.70%
Avg Days to Max Increase   9 10 6 12 3 14 15 5 8 5 1
2014 Contract Condition   Yes         Yes       Yes Yes
Action   No         No       Yes Yes
High 93.400 92.450 91.950 94.950 102.135 100.500 100.950 104.980 112.930 133.430 128.850 124.700
Low 90.835 89.030 89.400 91.280 93.350 97.980 98.650 100.000 103.450 111.600 115.930 112.780
Close/Last 92.000 90.000 91.750 94.280 99.200 100.430 100.150 104.835 112.230 127.180 123.130 113.350

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