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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Live Cattle(CME) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Higher   22 24 27 29 22 24 22 25 19 22 24
Exceeded High   20 19 26 27 19 20 19 19 15 20 18
Scenario Percentage   91% 79% 96% 93% 86% 83% 86% 76% 79% 91% 75%
Avg Max Increase   3.11% 3.72% 3.53% 3.59% 4.09% 6.00% 8.05% 6.24% 7.09% 5.91% 4.13%
Max Increase   6.97% 8.71% 9.85% 10.85% 14.13% 17.33% 22.50% 20.21% 15.62% 21.50% 8.15%
Avg Days To Max Increase   18 15 16 16 18 19 19 14 20 16 15
Avg Max Decline   -1.46% -0.81% -1.49% -0.99% -1.27% -1.51% -1.58% -1.88% -2.01% -2.17% -1.04%
Max Decline   -6.31% -3.36% -4.06% -4.32% -3.95% -6.96% -4.08% -6.15% -5.01% -5.02% -3.43%
Avg Days to Max Decline   9 7 7 9 9 8 7 9 13 12 3
2019 Contract Condition   Yes     Yes   Yes       Yes Yes
Action   Yes     Yes   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Lower   19 20 17 14 22 20 22 20 25 23 20
Penetrated Low   16 14 13 8 17 14 19 14 18 19 10
Scenario Percentage   84% 70% 76% 57% 77% 70% 86% 70% 72% 83% 50%
Avg Max Decline   4.39% 4.94% 5.64% 5.97% 5.12% 6.74% 5.63% 5.85% 5.73% 6.23% 3.55%
Max Decline   17.36% 16.33% 17.02% 14.82% 12.84% 14.09% 12.97% 11.52% 19.32% 16.00% 7.32%
Avg Days To Max Decline   14 14 17 19 19 20 18 17 19 13 11
Avg Max Increase   -1.35% -0.73% -1.06% -1.86% -1.36% -0.61% -1.58% -1.67% -1.58% -1.65% -1.42%
Max Increase   -8.77% -2.07% -3.29% -3.40% -3.97% -2.00% -5.21% -7.34% -3.97% -4.35% -7.13%
Avg Days to Max Increase   5 4 7 11 7 6 9 8 6 7 3
2019 Contract Condition     Yes Yes   Yes   Yes Yes Yes    
Action     Yes Yes   No   Yes Yes Yes    
High 112.730 114.730 115.300 114.300 114.250 114.885 116.230 121.150 119.950 112.000 107.180 109.600
Low 108.100 109.480 112.085 110.850 110.835 112.480 112.480 114.500 111.680 102.300 101.980 103.750
Close/Last 109.930 114.480 113.530 111.585 114.180 112.585 115.900 115.680 111.780 103.085 104.350 106.900

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