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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 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 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% 3.49% 3.31% 3.31% 3.52% 5.40% 5.95% 5.16% 6.71% 5.80% 4.22%
Max Increase   6.98% 8.71% 9.85% 10.86% 7.18% 17.33% 19.44% 12.46% 15.62% 21.51% 8.15%
Avg Days To Max Increase   18 16 16 15 19 18 17 13 20 17 15
Avg Max Decline   -1.67% -0.83% -1.49% -0.99% -1.30% -1.67% -1.47% -1.85% -2.14% -2.11% -0.99%
Max Decline   -6.61% -3.35% -4.06% -2.91% -3.96% -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
2024 Contract Condition   Yes     Yes Yes Yes     Yes    
Action   No     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 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% 4.72% 4.94% 4.70% 6.04% 7.61% 6.05% 5.58% 5.39% 5.80% 3.90%
Max Decline   17.36% 16.33% 13.70% 9.56% 22.86% 21.29% 14.00% 11.52% 19.33% 15.99% 7.31%
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% -1.41% -1.81% -1.51% -1.67% -1.81%
Max Increase   -8.77% -1.32% -2.31% -3.40% -3.97% -3.62% -5.20% -7.34% -3.98% -4.35% -7.13%
Avg Days to Max Increase   5 4 5 11 8 5 9 8 5 6 3
2024 Contract Condition     Yes Yes       Yes Yes      
Action     Yes Yes       Yes Not Yet      
High 186.630 192.450 190.100 183.180 172.680 179.980 183.800 185.050 178.580 176.500    
Low 180.830 184.650 176.350 167.150 163.630 169.980 178.750 174.750 167.650 170.080    
Close/Last 185.580 188.250 180.450 170.400 171.030 178.930 180.700 178.200 173.100 173.730    

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