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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Live Cattle(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Higher   29 31 29 27 24 25 20 23 28 18 25
Exceeded High   26 26 26 22 21 18 16 22 25 17 19
Scenario Percentage   90% 84% 90% 81% 88% 72% 80% 96% 89% 94% 76%
Avg Max Increase   3.55% 4.56% 4.10% 5.12% 5.58% 5.73% 6.89% 7.46% 4.79% 6.73% 5.06%
Max Increase   9.11% 14.10% 11.76% 15.73% 20.35% 13.11% 21.44% 27.14% 13.64% 25.05% 18.26%
Avg Days To Max Increase   20 18 17 18 17 15 17 16 15 14 17
Avg Max Decline   -1.35% -0.59% -1.33% -1.15% -1.52% -1.44% -1.83% -2.02% -2.21% -1.53% -0.69%
Max Decline   -3.97% -1.65% -4.11% -5.63% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline   9 9 8 7 8 8 9 9 6 11 3
2017 Contract Condition   Yes Yes   Yes Yes Yes         Yes
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Lower   14 13 15 17 21 20 25 22 16 27 20
Penetrated Low   10 5 12 12 17 14 20 16 15 20 14
Scenario Percentage   71% 38% 80% 71% 81% 70% 80% 73% 94% 74% 70%
Avg Max Decline   4.45% 7.52% 5.63% 6.73% 6.29% 6.11% 5.21% 6.72% 6.73% 7.65% 3.85%
Max Decline   12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 14.56% 23.20% 12.03%
Avg Days To Max Decline   17 18 19 18 17 17 20 21 17 11 11
Avg Max Increase   -1.02% -1.72% -1.38% -0.34% -1.06% -1.53% -1.86% -2.68% -2.63% -1.69% -1.15%
Max Increase   -3.67% -2.70% -3.63% -1.34% -3.76% -6.72% -5.22% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   7 12 6 6 6 8 9 15 9 6 2
2017 Contract Condition       Yes       Yes Yes Yes Yes  
Action       Yes       Yes Yes Yes No  
High 97.750 99.750 100.750 104.480 102.980 109.730 118.430 121.480 122.850 119.300 115.600 111.835
Low 91.750 93.800 97.230 99.430 99.135 101.300 104.980 113.780 111.150 111.250 104.200 104.300
Close/Last 94.385 99.750 100.430 99.700 102.335 106.635 118.335 118.150 115.200 111.950 105.400 109.100

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