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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   20 36 41 44 45 45 45 45 45 45 45
Closed Higher   14 20 24 27 22 25 16 24 26 22 23
Exceeded High   11 15 22 20 16 20 10 21 23 19 13
Scenario Percentage   79% 75% 92% 74% 73% 80% 63% 88% 88% 86% 57%
Avg Max Increase   6.28% 5.30% 4.35% 4.28% 4.21% 5.00% 3.84% 5.16% 5.07% 5.97% 4.51%
Max Increase   15.13% 11.81% 9.73% 9.12% 11.69% 8.82% 5.76% 11.70% 15.68% 16.68% 10.89%
Avg Days To Max Increase   19 20 19 18 15 19 14 17 17 14 15
Avg Max Decline   -1.44% -2.08% -0.88% -1.98% -1.59% -1.80% -1.47% -1.80% -1.56% -1.69% -0.60%
Max Decline   -7.26% -10.19% -2.93% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -1.96%
Avg Days to Max Decline   7 11 9 10 10 10 7 9 7 7 2
2019 Contract Condition   Yes Yes Yes Yes   Yes     Yes   Yes
Action   Yes Yes Yes Yes   Yes     No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   20 36 41 44 45 45 45 45 45 45 45
Closed Lower   6 16 17 17 23 20 29 20 19 23 21
Penetrated Low   3 8 12 13 13 18 19 15 12 19 12
Scenario Percentage   50% 50% 71% 76% 57% 90% 66% 75% 63% 83% 57%
Avg Max Decline   5.33% 5.16% 6.04% 6.84% 5.84% 5.21% 6.72% 7.93% 7.75% 6.05% 5.80%
Max Decline   7.23% 9.41% 10.51% 16.22% 15.41% 15.42% 17.94% 16.94% 15.28% 12.39% 9.34%
Avg Days To Max Decline   22 18 15 17 12 17 17 16 19 16 19
Avg Max Increase   -1.97% -1.37% -1.16% -1.97% -0.99% -1.69% -1.89% -1.94% -1.78% -1.84% -0.58%
Max Increase   -5.91% -5.40% -4.09% -5.95% -3.02% -10.79% -4.78% -7.17% -4.74% -6.48% -2.47%
Avg Days to Max Increase   4 8 8 8 5 7 11 8 8 7 4
2019 Contract Condition           Yes   Yes Yes   Yes  
Action           Yes   Yes Yes   Yes  
High 133.800 142.000 142.580 146.485 152.030 151.350 153.450 155.500 149.235 147.580 146.600 145.280
Low 133.800 133.280 133.575 140.485 145.080 144.135 144.000 145.900 140.800 140.350 141.200 141.950
Close/Last 133.800 139.400 141.885 146.235 148.150 145.150 153.300 148.235 142.850 146.750 142.550 142.885

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