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

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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