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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Feeder Cattle(CME) as of May 09, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 39 44 45 45 45 45 45 45 45 45
Closed Higher   15 22 29 30 23 24 18 24 29 20 23
Exceeded High   12 17 27 22 16 17 13 21 25 17 12
Scenario Percentage   80% 77% 93% 73% 70% 71% 72% 88% 86% 85% 52%
Avg Max Increase   5.75% 5.47% 4.61% 3.89% 4.01% 4.66% 4.07% 4.38% 4.36% 4.89% 3.65%
Max Increase   15.13% 11.81% 9.73% 9.12% 11.69% 7.98% 8.53% 8.84% 14.25% 9.32% 8.33%
Avg Days To Max Increase   19 20 19 18 14 17 16 17 17 14 14
Avg Max Decline   -1.81% -1.79% -0.90% -1.63% -1.57% -1.01% -1.52% -2.08% -1.77% -1.20% -0.80%
Max Decline   -7.26% -5.13% -2.93% -4.80% -5.65% -2.70% -4.75% -5.65% -8.05% -4.09% -1.96%
Avg Days to Max Decline   7 11 9 9 10 8 6 12 7 6 2
2024 Contract Condition   Yes Yes Yes   Yes Yes     Yes Yes Yes
Action   Yes Yes Yes   Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 39 44 45 45 45 45 45 45 45 45
Closed Lower   9 17 15 15 22 21 27 20 16 25 22
Penetrated Low   6 8 11 10 14 20 18 15 9 20 14
Scenario Percentage   67% 47% 73% 67% 64% 95% 67% 75% 56% 80% 64%
Avg Max Decline   5.27% 4.93% 5.99% 6.55% 5.64% 4.87% 7.28% 7.15% 7.26% 6.87% 6.55%
Max Decline   11.55% 9.42% 10.50% 16.22% 15.41% 15.42% 17.94% 16.90% 11.19% 20.26% 17.35%
Avg Days To Max Decline   19 20 15 18 13 16 17 16 17 16 17
Avg Max Increase   -1.80% -1.91% -1.16% -2.06% -1.20% -1.85% -1.94% -1.55% -1.31% -1.86% -0.82%
Max Increase   -5.91% -5.40% -4.09% -5.96% -3.02% -10.79% -4.78% -5.93% -3.29% -6.48% -3.62%
Avg Days to Max Increase   3 9 8 9 5 8 12 10 6 8 4
2024 Contract Condition         Yes     Yes Yes      
Action         No     Yes Yes      
High 223.350 234.750 243.550 251.050 253.980 259.130 270.100 264.800 244.580 227.180 241.930 254.900
Low 221.000 223.000 226.180 234.550 245.650 249.480 255.500 236.230 215.600 210.630 222.950 240.850
Close/Last 223.350 233.850 243.100 250.750 250.480 257.930 261.270 239.750 222.580 223.100 240.150 249.000

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