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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Feeder Cattle(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   22 33 34 38 38 39 41 41 41 41 41
Closed Higher   13 15 22 23 24 28 19 22 15 24 23
Exceeded High   11 14 18 20 23 22 17 20 12 20 19
Scenario Percentage   85% 93% 82% 87% 96% 79% 89% 91% 80% 83% 83%
Avg Max Increase   7.41% 6.48% 5.20% 4.84% 4.80% 4.48% 4.13% 4.72% 3.98% 4.49% 3.12%
Max Increase   23.34% 23.36% 15.37% 12.51% 10.16% 9.97% 15.07% 12.29% 8.07% 10.33% 7.28%
Avg Days To Max Increase   17 16 19 20 17 17 12 18 14 17 15
Avg Max Decline   -0.79% -1.23% -0.86% -2.40% -1.24% -1.78% -1.20% -1.59% -1.48% -1.94% -0.73%
Max Decline   -4.25% -7.28% -3.95% -11.41% -5.98% -5.68% -5.73% -7.29% -4.34% -5.38% -2.57%
Avg Days to Max Decline   5 10 12 10 7 9 8 9 9 10 4
2018 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes    
Action   Yes Yes Yes   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   22 33 34 38 38 39 41 41 41 41 41
Closed Lower   8 18 12 15 14 11 22 18 26 17 17
Penetrated Low   6 14 6 7 10 8 14 18 16 13 8
Scenario Percentage   75% 78% 50% 47% 71% 73% 64% 100% 62% 76% 47%
Avg Max Decline   6.12% 3.74% 5.27% 5.68% 6.50% 6.51% 5.31% 5.64% 6.49% 7.14% 3.69%
Max Decline   9.60% 11.95% 8.92% 10.44% 10.88% 16.12% 15.43% 15.48% 14.68% 13.88% 8.52%
Avg Days To Max Decline   20 18 20 20 17 15 15 16 17 16 13
Avg Max Increase   -0.92% -1.45% -1.47% -1.39% -1.48% -2.59% -1.78% -2.00% -2.18% -1.69% -0.73%
Max Increase   -4.87% -6.97% -6.79% -5.73% -4.42% -6.75% -6.22% -12.09% -4.32% -6.26% -3.36%
Avg Days to Max Increase   4 7 5 10 8 11 13 8 11 7 3
2018 Contract Condition         Yes     Yes     Yes Yes
Action         Yes     No     Yes Not Yet
High 119.950 119.000 128.000 146.780 149.680 149.400 148.750 146.850 154.300 160.300 162.080 154.200
Low 116.050 114.950 118.280 124.130 136.700 132.700 136.950 136.100 139.950 148.180 149.300 140.985
Close/Last 116.350 119.000 125.380 146.600 141.300 142.575 142.700 140.500 151.530 159.580 154.180 146.000

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