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