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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 43 43 43 44 44 44 44 44 44 44
Closed Higher   27 27 32 23 29 23 24 31 20 22 25
Exceeded High   20 23 25 22 24 18 22 23 16 17 19
Scenario Percentage   74% 85% 78% 96% 83% 78% 92% 74% 80% 77% 76%
Avg Max Increase   5.83% 7.04% 6.68% 7.51% 8.39% 10.57% 9.32% 9.17% 11.00% 10.18% 5.82%
Max Increase   15.72% 17.68% 22.82% 28.19% 29.21% 23.29% 17.33% 29.29% 42.67% 46.56% 13.41%
Avg Days To Max Increase   19 17 18 16 19 17 21 20 18 13 10
Avg Max Decline   -1.56% -1.65% -2.12% -1.28% -2.24% -1.91% -1.65% -2.60% -2.89% -2.97% -0.54%
Max Decline   -4.06% -4.26% -8.50% -5.82% -7.71% -4.71% -8.47% -7.54% -11.11% -6.47% -2.58%
Avg Days to Max Decline   13 9 11 9 13 8 6 10 10 10 1
2013 Contract Condition     Yes Yes   Yes     Yes Yes Yes Yes
Action     No Yes   No     Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 43 43 43 44 44 44 44 44 44 44
Closed Lower   15 16 11 20 14 20 20 13 23 22 19
Penetrated Low   12 10 8 15 10 15 15 13 21 16 9
Scenario Percentage   80% 63% 73% 75% 71% 75% 75% 100% 91% 73% 47%
Avg Max Decline   3.80% 5.76% 5.30% 4.77% 6.24% 10.29% 9.51% 9.94% 8.50% 7.34% 5.39%
Max Decline   11.94% 11.88% 12.76% 11.56% 19.33% 24.72% 34.26% 35.00% 23.66% 21.35% 14.86%
Avg Days To Max Decline   16 17 11 13 17 16 17 17 15 10 7
Avg Max Increase   -2.58% -3.97% -0.84% -2.36% -1.47% -1.65% -2.41% -2.79% -2.99% -2.32% -0.45%
Max Increase   -6.83% -12.46% -2.55% -5.92% -4.28% -7.90% -5.83% -5.19% -10.07% -11.54% -4.54%
Avg Days to Max Increase   11 12 2 13 10 5 8 9 10 7 2
2013 Contract Condition   Yes     Yes   Yes Yes        
Action   No     Yes   Yes No        
High 99.000 98.480 100.050 100.000 100.050 98.250 97.750 92.600 92.500 93.600 99.850 99.635
Low 96.000 95.500 97.000 97.250 96.280 95.150 90.400 87.835 88.350 88.700 92.500 94.350
Close/Last 98.400 97.100 99.200 100.000 96.500 97.180 92.150 90.730 92.150 93.480 97.450 97.585

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