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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 Oct 20, 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   23 34 35 39 39 40 42 42 42 42 42
Closed Higher   14 15 23 24 25 29 19 23 15 24 24
Exceeded High   11 14 19 21 24 23 17 21 12 20 19
Scenario Percentage   79% 93% 83% 88% 96% 79% 89% 91% 80% 83% 79%
Avg Max Increase   7.41% 6.48% 5.17% 4.94% 4.77% 4.49% 4.13% 4.56% 3.98% 4.68% 3.23%
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 17 14 18 16
Avg Max Decline   -0.79% -1.23% -1.03% -2.38% -1.23% -1.83% -1.20% -1.51% -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 10 8 8 9 10 4
2019 Contract Condition   Yes   Yes Yes Yes Yes   Yes     Yes
Action   No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   23 34 35 39 39 40 42 42 42 42 42
Closed Lower   8 19 12 15 14 11 23 18 27 18 17
Penetrated Low   6 15 6 7 10 8 15 18 17 14 9
Scenario Percentage   75% 79% 50% 47% 71% 73% 65% 100% 63% 78% 53%
Avg Max Decline   6.12% 3.65% 5.27% 5.68% 6.50% 6.51% 5.02% 5.64% 6.40% 6.88% 3.90%
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 17 20 20 17 15 15 16 16 16 15
Avg Max Increase   -0.92% -1.45% -1.47% -1.39% -1.48% -2.59% -1.76% -2.00% -2.10% -1.80% -1.11%
Max Increase   -4.87% -6.97% -6.79% -5.73% -4.42% -6.75% -6.22% -12.09% -4.32% -6.26% -4.12%
Avg Days to Max Increase   4 7 5 10 8 11 12 8 10 9 4
2019 Contract Condition     Yes         Yes   Yes Yes  
Action     Yes         Yes   Yes Yes  
High 147.000 150.950 148.000 144.700 145.000 147.735 153.500 152.500 155.985 156.580 151.250 149.850
Low 143.385 144.600 137.150 134.235 135.735 140.930 146.235 144.580 144.530 147.580 142.680 143.135
Close/Last 144.885 146.350 137.450 141.280 143.700 147.650 149.080 145.800 154.650 150.135 145.235 148.850

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