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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) as of Oct 06, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   24 39 44 45 45 45 45 45 45 45 45
Closed Higher   14 24 32 20 23 20 27 30 25 26 19
Exceeded High   13 22 24 15 19 15 24 27 22 20 16
Scenario Percentage   93% 92% 75% 75% 83% 75% 89% 90% 88% 77% 84%
Avg Max Increase   5.91% 4.77% 3.80% 3.76% 4.31% 4.43% 4.41% 4.20% 5.09% 5.40% 3.08%
Max Increase   11.53% 9.99% 8.89% 10.58% 8.15% 10.94% 9.81% 15.89% 15.31% 12.23% 6.85%
Avg Days To Max Increase   20 19 18 14 17 20 18 16 17 13 13
Avg Max Decline   -2.29% -0.85% -1.49% -1.33% -1.11% -1.63% -1.80% -1.63% -1.53% -1.60% -0.67%
Max Decline   -9.58% -2.55% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -3.52% -4.58% -3.21%
Avg Days to Max Decline   7 9 11 9 7 9 12 9 9 6 2
2023 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action     Yes Yes No   Yes Yes Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   24 39 44 45 45 45 45 45 45 45 45
Closed Lower   10 15 12 25 22 24 18 15 20 19 26
Penetrated Low   6 11 8 16 21 15 12 8 16 14 16
Scenario Percentage   60% 73% 67% 64% 95% 63% 67% 53% 80% 74% 62%
Avg Max Decline   3.31% 5.98% 5.28% 5.10% 4.60% 7.33% 6.87% 6.74% 8.29% 8.95% 5.76%
Max Decline   8.48% 10.47% 15.90% 15.39% 15.76% 18.71% 17.23% 11.37% 21.40% 21.67% 14.75%
Avg Days To Max Decline   19 14 15 13 18 16 16 19 17 13 12
Avg Max Increase   -1.93% -1.61% -1.71% -1.09% -1.69% -1.51% -1.23% -1.85% -1.94% -0.91% -0.49%
Max Increase   -4.95% -4.71% -6.32% -2.92% -10.72% -4.67% -5.68% -3.59% -6.36% -3.45% -1.71%
Avg Days to Max Increase   7 8 11 9 9 13 6 10 7 6 2
2023 Contract Condition   Yes       Yes            
Action   No       Yes            
High 179.350 182.680 184.580 191.680 194.850 192.600 188.180 188.235 190.550 192.200 195.450 202.250
Low 176.500 174.150 178.750 182.400 188.800 181.635 179.430 182.385 186.300 184.150 187.150 192.650
Close/Last 176.500 176.350 184.135 188.600 189.985 182.135 185.530 186.800 189.635 190.050 195.080 200.830

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