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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 Dec 27, 2023
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 25 30 31 23 25 21 22 18 24 26
Exceeded High   20 21 29 29 20 21 18 18 16 23 20
Scenario Percentage   91% 84% 97% 94% 87% 84% 86% 82% 89% 96% 77%
Avg Max Increase   3.22% 3.48% 3.31% 3.31% 3.52% 5.40% 5.95% 5.16% 6.71% 5.85% 4.29%
Max Increase   6.97% 8.71% 9.85% 10.85% 7.19% 17.33% 19.44% 12.46% 15.62% 21.50% 8.15%
Avg Days To Max Increase   18 16 16 15 19 18 17 13 20 17 16
Avg Max Decline   -1.67% -0.83% -1.49% -0.99% -1.30% -1.67% -1.48% -1.85% -2.15% -2.11% -0.99%
Max Decline   -6.61% -3.36% -4.06% -2.91% -3.95% -6.96% -3.71% -6.15% -6.04% -5.02% -3.43%
Avg Days to Max Decline   9 8 8 9 12 8 9 9 13 11 3
2023 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action     Yes Yes Yes Yes Yes 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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 20 15 13 22 20 23 23 26 21 18
Penetrated Low   15 13 11 7 17 15 20 16 18 17 8
Scenario Percentage   75% 65% 73% 54% 77% 75% 87% 70% 69% 81% 44%
Avg Max Decline   4.63% 4.73% 4.94% 4.71% 6.04% 7.61% 6.05% 5.57% 5.39% 5.81% 3.90%
Max Decline   17.36% 16.33% 13.71% 9.56% 22.86% 21.29% 14.00% 11.52% 19.32% 16.00% 7.32%
Avg Days To Max Decline   15 14 17 19 18 19 17 17 17 15 13
Avg Max Increase   -1.39% -0.62% -0.70% -1.95% -1.29% -0.91% -1.40% -1.80% -1.51% -1.67% -1.81%
Max Increase   -8.77% -1.32% -2.31% -3.40% -3.97% -3.62% -5.21% -7.34% -3.97% -4.35% -7.13%
Avg Days to Max Increase   5 4 5 11 8 5 9 8 5 6 3
2023 Contract Condition   Yes                    
Action   No                    
High 153.735 155.650 154.830 156.300 158.250 159.180 160.500 161.485 165.050 167.750 178.100 182.985
Low 149.385 149.800 151.150 152.830 154.300 155.735 158.050 154.600 159.700 159.250 167.330 173.430
Close/Last 153.100 150.885 153.500 155.900 157.580 158.780 160.250 161.430 163.780 167.680 177.180 178.050

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