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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   42 43 44 44 44 44 44 44 45 45 45
Closed Higher   28 17 26 25 22 20 25 16 29 14 32
Exceeded High   21 13 23 17 18 16 19 14 26 11 15
Scenario Percentage   75% 76% 88% 68% 82% 80% 76% 88% 90% 79% 47%
Avg Max Increase   7.88% 9.51% 7.19% 7.45% 10.26% 10.65% 8.22% 9.01% 8.75% 9.69% 4.44%
Max Increase   29.22% 24.56% 19.08% 25.45% 46.99% 33.60% 33.21% 19.37% 21.17% 15.99% 9.44%
Avg Days To Max Increase   20 19 18 17 17 17 16 14 18 12 7
Avg Max Decline   -2.25% -2.23% -1.53% -1.95% -2.55% -1.86% -3.80% -2.36% -2.44% -2.05% -0.65%
Max Decline   -6.89% -6.79% -8.67% -7.43% -8.24% -6.28% -6.72% -8.87% -10.12% -4.42% -2.09%
Avg Days to Max Decline   14 9 7 8 13 8 12 9 6 6 1
2013 Contract Condition   Yes       Yes Yes   Yes Yes Yes  
Action   No       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   42 43 44 44 44 44 44 44 45 45 45
Closed Lower   13 26 18 19 22 24 19 27 16 30 13
Penetrated Low   10 18 14 16 19 19 16 16 15 21 8
Scenario Percentage   77% 69% 78% 84% 86% 79% 84% 59% 94% 70% 62%
Avg Max Decline   5.28% 6.78% 9.57% 8.05% 11.17% 10.51% 8.10% 12.11% 10.07% 7.66% 8.50%
Max Decline   12.04% 19.90% 34.58% 31.77% 31.38% 24.36% 19.07% 22.35% 18.63% 44.65% 27.50%
Avg Days To Max Decline   16 16 17 20 18 20 14 20 15 10 8
Avg Max Increase   -0.92% -1.76% -1.86% -2.72% -2.35% -2.36% -2.86% -2.76% -3.03% -1.17% -1.23%
Max Increase   -3.18% -6.21% -4.56% -9.21% -7.09% -11.01% -7.26% -9.82% -13.85% -5.66% -4.64%
Avg Days to Max Increase   8 9 10 14 8 14 7 10 7 4 2
2013 Contract Condition     Yes Yes Yes     Yes       Yes
Action     Yes No Yes     No       Yes
High 84.950 83.900 83.900 80.250 80.050 81.000 83.700 83.480 84.800 89.000 92.300 89.500
Low 82.000 81.680 78.100 75.600 76.750 76.280 79.800 80.225 80.500 84.400 85.500 84.930
Close/Last 82.000 83.730 79.475 78.975 78.900 80.700 82.650 80.500 84.750 86.635 89.180 85.680

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