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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, 2015
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   44 44 44 44 45 45 45 45 45 45 45
Closed Higher   28 28 33 24 30 24 25 31 21 23 25
Exceeded High   21 24 26 23 25 19 23 23 17 18 19
Scenario Percentage   75% 86% 79% 96% 83% 79% 92% 74% 81% 78% 76%
Avg Max Increase   5.91% 6.87% 6.61% 7.83% 9.15% 10.84% 9.10% 9.17% 10.76% 9.64% 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   20 18 18 17 19 17 21 20 17 12 10
Avg Max Decline   -1.54% -1.61% -2.07% -1.22% -2.19% -1.85% -1.98% -2.60% -2.77% -2.93% -0.54%
Max Decline   -4.06% -4.26% -8.50% -5.82% -7.71% -4.71% -9.25% -7.54% -11.11% -6.47% -2.58%
Avg Days to Max Decline   13 10 10 9 12 8 6 10 10 9 1
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes  
Action   Yes Yes Yes Yes Yes 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   44 44 44 44 45 45 45 45 45 45 45
Closed Lower   15 16 11 20 14 20 20 14 23 22 20
Penetrated Low   12 10 8 15 10 15 15 13 21 16 10
Scenario Percentage   80% 63% 73% 75% 71% 75% 75% 93% 91% 73% 50%
Avg Max Decline   3.80% 5.76% 5.30% 4.77% 6.24% 10.29% 9.51% 9.94% 8.50% 7.34% 5.23%
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 8
Avg Max Increase   -2.58% -3.97% -0.84% -2.36% -1.47% -1.65% -2.41% -2.79% -2.99% -2.32% -0.47%
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
2014 Contract Condition                 Yes     Yes
Action                 No     Yes
High 89.200 91.100 97.100 96.430 97.635 101.000 111.530 128.575 125.180 128.825 132.825 133.385
Low 86.930 88.400 89.480 94.280 95.335 97.135 99.900 110.300 112.150 121.180 123.730 117.450
Close/Last 88.850 90.400 95.000 96.150 97.085 101.000 111.100 123.585 121.950 124.800 132.825 118.030

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