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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 20 29 26 34 22 31 21 24 26 25
Exceeded High   17 19 22 20 28 21 25 20 21 20 12
Scenario Percentage   77% 95% 76% 77% 82% 95% 81% 95% 88% 77% 48%
Avg Max Increase   7.14% 5.90% 6.03% 6.79% 6.85% 8.69% 8.96% 9.29% 10.17% 7.79% 5.75%
Max Increase   20.43% 11.32% 11.38% 18.26% 21.48% 29.71% 27.28% 19.19% 23.06% 17.35% 10.69%
Avg Days To Max Increase   17 12 22 16 19 18 19 16 18 13 11
Avg Max Decline   -2.91% -1.72% -1.86% -1.80% -2.82% -1.53% -2.82% -1.83% -2.08% -1.63% -0.50%
Max Decline   -7.45% -4.68% -7.01% -5.95% -8.69% -4.80% -7.58% -6.47% -8.16% -4.44% -2.21%
Avg Days to Max Decline   8 9 13 8 12 7 13 8 6 3 2
2016 Contract Condition     Yes Yes     Yes Yes Yes Yes Yes  
Action     Yes Yes     Yes Yes Yes No 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 25 16 19 11 22 14 24 20 19 20
Penetrated Low   18 12 13 13 6 14 11 19 15 16 13
Scenario Percentage   82% 48% 81% 68% 55% 64% 79% 79% 75% 84% 65%
Avg Max Decline   5.84% 6.88% 5.17% 4.86% 8.30% 7.29% 8.68% 10.85% 10.47% 8.43% 5.36%
Max Decline   16.03% 18.42% 11.91% 8.87% 15.50% 15.89% 22.26% 25.20% 30.01% 28.52% 12.55%
Avg Days To Max Decline   15 15 18 16 16 15 20 17 14 12 6
Avg Max Increase   -1.48% -2.41% -2.63% -2.93% -1.95% -2.29% -1.49% -1.50% -2.42% -2.28% -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   8 10 6 11 3 14 14 5 6 5 1
2016 Contract Condition   Yes     Yes Yes           Yes
Action   Yes     Yes No           Not Yet
High 80.650 82.530 80.250 80.930 81.635 76.635 78.780 80.930 81.230 83.980 81.750 83.480
Low 74.450 77.600 76.400 78.500 74.950 70.250 71.385 76.200 78.100 80.000 76.800 78.635
Close/Last 79.885 78.850 79.500 79.835 76.150 73.230 78.000 80.650 80.750 80.850 81.700 80.585

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