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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, 2015
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   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   29 18 27 26 23 21 25 16 29 14 32
Exceeded High   22 14 24 18 19 17 19 14 25 11 14
Scenario Percentage   76% 78% 89% 69% 83% 81% 76% 88% 86% 79% 44%
Avg Max Increase   8.18% 9.39% 7.14% 7.49% 10.32% 10.43% 8.22% 9.01% 8.81% 9.58% 4.23%
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 20 18 17 17 16 16 14 18 12 7
Avg Max Decline   -2.17% -2.26% -1.66% -1.85% -2.52% -1.72% -3.80% -2.36% -2.42% -2.05% -0.64%
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   13 8 7 8 13 8 12 9 6 6 1
2014 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes   Yes
Action   Yes Yes Yes Yes Yes Yes     No   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   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   13 26 18 19 22 24 20 28 16 30 13
Penetrated Low   10 18 14 16 19 19 17 16 15 21 8
Scenario Percentage   77% 69% 78% 84% 86% 79% 85% 57% 94% 70% 62%
Avg Max Decline   5.28% 6.78% 9.57% 8.05% 11.17% 10.51% 8.24% 12.11% 10.07% 7.61% 8.49%
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 15 20 15 10 8
Avg Max Increase   -0.92% -1.76% -1.86% -2.72% -2.35% -2.36% -2.83% -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 6 10 7 4 2
2014 Contract Condition               Yes Yes   Yes  
Action               Yes No   Not Yet  
High 80.000 80.400 86.550 92.000 93.000 95.480 99.950 105.500 96.335 99.000 97.300 93.335
Low 77.430 79.030 80.000 84.050 85.850 92.250 93.000 93.250 84.280 90.900 86.150 86.700
Close/Last 79.500 80.385 86.250 90.200 92.500 94.800 98.600 94.180 92.000 94.530 88.030 90.335

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