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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, 2015
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   42 43 44 45 45 45 45 45 45 45 45
Closed Higher   29 24 30 19 26 29 22 21 24 21 31
Exceeded High   24 20 25 17 22 20 20 17 22 18 18
Scenario Percentage   83% 83% 83% 89% 85% 69% 91% 81% 92% 86% 58%
Avg Max Increase   5.45% 7.53% 8.36% 8.90% 7.37% 8.84% 10.07% 10.97% 8.45% 8.88% 5.25%
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 12 20 18 18 19 18 16 15 10 9
Avg Max Decline   -2.86% -1.00% -2.29% -2.22% -2.18% -1.66% -2.60% -2.58% -3.65% -1.73% -0.87%
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 10 10 7 7 9 11 9 3 3
2014 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes     Yes
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   42 43 44 45 45 45 45 45 45 45 45
Closed Lower   13 19 14 24 19 15 23 24 20 24 14
Penetrated Low   10 14 10 17 14 14 20 19 13 16 10
Scenario Percentage   77% 74% 71% 71% 74% 93% 87% 79% 65% 67% 71%
Avg Max Decline   4.53% 4.88% 4.37% 9.78% 9.51% 9.33% 9.98% 11.44% 10.58% 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% -2.74% -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
2014 Contract Condition                   Yes Yes  
Action                   Yes Not Yet  
High 83.050 82.500 84.300 86.000 95.000 105.700 105.050 108.530 113.980 118.350 104.550 108.800
Low 78.900 80.900 81.600 83.635 85.250 92.780 96.200 102.700 105.230 102.385 90.450 98.750
Close/Last 81.250 82.100 83.750 85.980 94.000 102.900 102.900 105.850 113.900 103.180 98.135 107.980

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