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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 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   29 29 33 25 29 24 25 31 21 23 26
Exceeded High   21 25 26 24 24 20 23 24 17 17 19
Scenario Percentage   72% 86% 79% 96% 83% 83% 92% 77% 81% 74% 73%
Avg Max Increase   5.91% 6.83% 6.61% 7.65% 9.05% 10.45% 8.93% 9.20% 10.76% 9.66% 5.07%
Max Increase   15.72% 17.68% 22.82% 28.19% 29.21% 23.29% 17.33% 29.29% 42.67% 43.06% 13.41%
Avg Days To Max Increase   20 18 18 17 20 18 20 20 17 12 8
Avg Max Decline   -1.54% -1.59% -2.07% -1.24% -2.29% -1.83% -2.14% -2.66% -2.77% -3.03% -0.38%
Max Decline   -4.06% -4.26% -8.50% -5.82% -7.71% -4.71% -9.25% -7.54% -11.11% -6.47% -2.54%
Avg Days to Max Decline   13 9 10 9 12 9 7 11 10 10 2
2016 Contract Condition   Yes     Yes Yes Yes Yes Yes   Yes  
Action   No     Yes Yes Yes Yes Yes   Not Yet  
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   16 16 12 20 15 21 20 14 23 22 19
Penetrated Low   12 10 8 15 11 16 14 13 21 16 8
Scenario Percentage   75% 63% 67% 75% 73% 76% 70% 93% 91% 73% 42%
Avg Max Decline   3.80% 5.05% 5.30% 5.57% 6.78% 10.36% 9.84% 9.94% 9.04% 7.26% 5.39%
Max Decline   11.94% 9.44% 12.76% 13.51% 19.33% 24.72% 34.26% 35.00% 23.66% 20.98% 14.46%
Avg Days To Max Decline   16 15 11 12 17 17 17 17 15 11 6
Avg Max Increase   -2.58% -3.65% -0.84% -2.27% -1.43% -1.62% -2.23% -2.79% -3.40% -2.50% -0.04%
Max Increase   -6.83% -12.46% -2.55% -5.92% -4.28% -7.90% -5.83% -5.19% -11.85% -11.54% -0.97%
Avg Days to Max Increase   11 12 2 13 9 5 7 9 10 7 1
2016 Contract Condition     Yes Yes           Yes   Yes
Action     Yes No           Yes   Yes
High 78.000 79.950 79.950 75.335 77.500 79.600 79.885 82.085 81.150 82.900 90.430 84.835
Low 75.350 76.950 73.850 71.335 71.585 75.680 77.800 78.650 77.135 78.100 80.100 68.700
Close/Last 77.350 78.480 74.900 73.480 76.980 79.400 79.835 80.400 80.885 80.850 83.280 68.980

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