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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 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Higher   30 25 30 19 26 30 22 22 24 23 30
Exceeded High   24 21 25 17 22 21 20 17 22 20 18
Scenario Percentage   80% 84% 83% 89% 85% 70% 91% 77% 92% 87% 60%
Avg Max Increase   5.45% 7.41% 8.16% 9.04% 7.26% 8.69% 10.07% 10.97% 8.45% 8.58% 5.05%
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% -1.02% -2.22% -2.24% -2.25% -1.76% -2.60% -2.58% -3.65% -1.73% -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 10 7 7 9 11 9 3 3
2016 Contract Condition     Yes Yes Yes Yes Yes   Yes   Yes  
Action     Yes Yes Yes Yes Yes   No   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   44 44 45 45 45 45 45 45 45 45 45
Closed Lower   14 19 15 25 19 14 23 23 21 22 15
Penetrated Low   10 14 11 18 13 13 20 18 13 15 11
Scenario Percentage   71% 74% 73% 72% 68% 93% 87% 78% 62% 68% 73%
Avg Max Decline   4.53% 5.55% 5.03% 9.81% 9.47% 9.11% 10.43% 11.59% 11.41% 6.74% 3.63%
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 18 16 17 17 20 16 20 17 8 7
Avg Max Increase   -1.46% -2.33% -1.92% -1.82% -2.03% -3.46% -2.88% -3.77% -3.21% -1.28% -1.35%
Max Increase   -9.88% -5.98% -7.02% -7.24% -4.52% -10.33% -9.64% -13.39% -9.42% -6.19% -3.25%
Avg Days to Max Increase   3 16 10 6 9 19 10 12 8 6 2
2016 Contract Condition   Yes           Yes   Yes   Yes
Action   No           Yes   Yes   Yes
High 70.100 66.150 67.950 67.975 68.980 70.400 70.135 70.980 74.800 72.885 63.250 63.850
Low 64.600 62.130 62.685 64.650 67.250 67.885 67.000 66.725 67.550 58.780 57.585 49.030
Close/Last 65.800 64.400 65.600 67.600 68.450 68.930 69.730 68.225 71.700 59.050 62.850 49.030

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