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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, 2016
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   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   30 24 30 18 26 30 23 21 24 22 31
Exceeded High   24 20 25 16 22 21 20 17 22 19 19
Scenario Percentage   80% 83% 83% 89% 85% 70% 87% 81% 92% 86% 61%
Avg Max Increase   5.45% 7.53% 8.36% 9.41% 7.37% 8.59% 10.07% 10.97% 8.45% 8.95% 5.07%
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 19 18 18 18 16 15 10 9
Avg Max Decline   -2.86% -1.00% -2.29% -2.35% -2.18% -1.58% -2.60% -2.58% -3.65% -1.77% -0.93%
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 11 7 6 9 11 9 4 3
2015 Contract Condition   Yes         Yes Yes     Yes Yes
Action   No         Yes No     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   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   13 20 15 25 19 14 22 24 21 23 14
Penetrated Low   10 15 11 18 13 13 19 19 13 15 10
Scenario Percentage   77% 75% 73% 72% 68% 93% 86% 79% 62% 65% 71%
Avg Max Decline   4.53% 5.34% 5.03% 9.81% 9.47% 9.11% 10.25% 11.56% 10.58% 6.74% 3.71%
Max Decline   11.67% 11.81% 11.67% 27.61% 34.99% 34.02% 27.95% 24.81% 20.13% 22.06% 8.40%
Avg Days To Max Decline   14 17 16 17 17 20 16 20 17 8 7
Avg Max Increase   -1.46% -2.28% -1.92% -1.82% -2.03% -3.46% -2.53% -3.66% -2.74% -1.28% -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 15 10 6 9 19 10 12 7 6 2
2015 Contract Condition     Yes Yes Yes Yes     Yes Yes    
Action     Yes Yes Yes No     Yes No    
High 78.200 81.900 80.980 77.850 73.900 72.750 73.000 74.450 73.585 67.430 68.585 74.500
Low 74.300 76.700 73.900 69.850 68.150 64.725 68.500 71.885 61.835 59.450 61.600 66.350
Close/Last 78.000 81.000 77.280 73.280 72.150 69.150 71.885 72.635 66.000 63.730 68.030 73.530

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