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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   41 42 43 44 44 44 44 44 44 44 45
Closed Higher   28 23 29 18 25 29 21 20 24 21 31
Exceeded High   23 19 24 16 21 20 19 16 22 18 18
Scenario Percentage   82% 83% 83% 89% 84% 69% 90% 80% 92% 86% 58%
Avg Max Increase   5.48% 7.22% 7.76% 8.68% 7.46% 8.84% 9.98% 11.41% 8.45% 8.88% 5.19%
Max Increase   13.88% 22.09% 30.19% 23.22% 18.19% 25.89% 44.70% 33.79% 32.64% 21.46% 13.06%
Avg Days To Max Increase   18 11 20 17 18 19 19 17 15 10 9
Avg Max Decline   -2.96% -1.05% -2.35% -2.28% -1.97% -1.66% -2.70% -2.73% -3.65% -1.73% -0.74%
Max Decline   -9.45% -5.79% -6.89% -5.75% -9.70% -6.61% -14.68% -6.03% -13.13% -10.53% -2.74%
Avg Days to Max Decline   12 5 11 11 7 7 9 12 9 3 3
2013 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   41 42 43 44 44 44 44 44 44 44 45
Closed Lower   13 19 14 24 19 15 23 24 19 23 14
Penetrated Low   10 14 10 17 14 14 20 19 12 16 10
Scenario Percentage   77% 74% 71% 71% 74% 93% 87% 79% 63% 70% 71%
Avg Max Decline   4.53% 4.88% 4.37% 9.78% 9.51% 9.33% 9.98% 11.44% 10.44% 6.58% 3.71%
Max Decline   11.67% 10.59% 7.31% 27.61% 34.99% 34.02% 27.95% 24.81% 20.13% 22.06% 8.40%
Avg Days To Max Decline   14 17 15 16 18 20 15 21 17 8 7
Avg Max Increase   -1.46% -2.39% -2.03% -1.88% -2.01% -3.32% -2.52% -3.67% -2.85% -1.37% -1.32%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.52% -10.33% -8.27% -13.39% -9.42% -6.19% -3.25%
Avg Days to Max Increase   3 16 11 7 9 18 9 13 7 6 2
2013 Contract Condition     Yes   Yes Yes       Yes    
Action     Yes   Yes No       No    
High 88.750 88.950 88.800 87.550 87.600 83.500 83.050 83.900 87.085 86.950 88.385 93.750
Low 86.680 86.500 85.680 84.700 81.180 78.350 79.450 79.180 82.930 82.930 83.280 87.250
Close/Last 88.300 88.585 85.885 87.180 82.730 81.900 82.350 83.800 85.800 83.335 87.635 91.980

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