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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, 2016
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   29 18 27 27 24 21 24 17 30 14 31
Exceeded High   22 14 24 19 19 17 18 15 26 11 14
Scenario Percentage   76% 78% 89% 70% 79% 81% 75% 88% 87% 79% 45%
Avg Max Increase   8.18% 9.39% 7.14% 7.26% 10.32% 10.43% 8.61% 8.95% 8.59% 9.83% 4.76%
Max Increase   29.22% 24.56% 19.08% 25.45% 46.99% 33.60% 33.21% 19.37% 21.17% 15.99% 9.68%
Avg Days To Max Increase   20 20 18 16 17 16 16 15 18 13 8
Avg Max Decline   -2.17% -2.26% -1.66% -1.76% -2.52% -1.72% -3.76% -2.43% -2.48% -2.05% -0.75%
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 7 13 8 12 9 6 6 1
2015 Contract Condition         Yes Yes     Yes Yes    
Action         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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   14 27 18 18 21 24 21 27 15 30 14
Penetrated Low   11 19 13 15 18 19 17 15 14 22 8
Scenario Percentage   79% 70% 72% 83% 86% 79% 81% 56% 93% 73% 57%
Avg Max Decline   5.85% 6.95% 9.41% 7.65% 11.45% 10.88% 8.24% 11.62% 9.50% 7.88% 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 17 20 15 19 14 10 8
Avg Max Increase   -0.85% -1.73% -1.88% -2.84% -2.42% -2.33% -2.83% -2.92% -3.24% -1.13% -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   7 9 10 15 9 12 6 10 7 4 2
2015 Contract Condition   Yes Yes Yes     Yes Yes     Yes Yes
Action   Yes Yes No     Yes No     Yes Not Yet
High 76.585 73.430 69.550 69.000 69.335 70.800 69.800 64.650 64.000 67.600 68.835 59.435
Low 69.700 66.050 63.835 61.400 65.635 68.385 59.185 57.050 57.835 61.500 59.030 51.800
Close/Last 72.500 69.450 68.200 66.100 68.650 69.230 64.225 60.450 63.630 66.725 59.200 58.435

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