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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 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   32 32 30 29 24 22 19 25 28 17 27
Exceeded High   29 28 27 23 20 16 16 24 24 16 22
Scenario Percentage   91% 88% 90% 79% 83% 73% 84% 96% 86% 94% 81%
Avg Max Increase   3.39% 3.48% 3.67% 4.64% 4.26% 4.64% 6.08% 5.29% 4.52% 5.97% 5.12%
Max Increase   8.52% 9.77% 9.32% 15.73% 15.94% 10.93% 12.73% 17.31% 13.64% 25.05% 18.26%
Avg Days To Max Increase   20 17 17 17 16 13 18 18 16 15 18
Avg Max Decline   -1.35% -0.76% -1.08% -1.28% -1.38% -1.23% -1.93% -1.85% -1.82% -1.56% -0.69%
Max Decline   -3.97% -1.71% -3.37% -5.63% -5.37% -3.85% -4.81% -4.99% -8.32% -6.73% -3.21%
Avg Days to Max Decline   9 11 9 8 9 9 9 9 6 12 4
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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   13 13 15 16 21 23 26 20 16 28 18
Penetrated Low   10 4 11 12 17 16 18 14 13 20 14
Scenario Percentage   77% 31% 73% 75% 81% 70% 69% 70% 81% 71% 78%
Avg Max Decline   4.63% 6.03% 7.06% 7.06% 5.44% 4.87% 4.98% 6.52% 6.71% 6.01% 3.76%
Max Decline   12.82% 8.28% 21.12% 21.06% 12.44% 10.46% 14.26% 15.45% 14.56% 16.39% 12.03%
Avg Days To Max Decline   17 17 20 15 16 18 20 22 18 10 10
Avg Max Increase   -0.71% -1.48% -1.29% -0.73% -1.13% -1.66% -1.77% -2.64% -2.57% -1.78% -1.17%
Max Increase   -2.40% -2.12% -3.63% -2.81% -4.38% -6.72% -3.98% -6.56% -4.84% -4.87% -5.55%
Avg Days to Max Increase   4 13 8 6 6 8 9 16 10 7 2
2023 Contract Condition                   Yes    
Action                   No    
High 158.600 159.950 162.100 163.450 164.550 165.485 168.550 171.850 180.180 185.750 183.735 187.580
Low 155.050 156.635 158.385 160.280 162.200 159.500 164.080 163.485 171.400 176.200 177.635 179.500
Close/Last 157.000 159.735 161.650 162.930 164.350 165.400 167.635 171.780 179.550 179.530 180.830 184.200

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