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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 Jun 08, 2020
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   21 37 42 45 45 45 45 45 45 45 45
Closed Higher   14 20 25 28 22 25 17 24 27 22 23
Exceeded High   11 15 23 20 16 20 11 21 24 19 13
Scenario Percentage   79% 75% 92% 71% 73% 80% 65% 88% 89% 86% 57%
Avg Max Increase   6.28% 5.30% 4.39% 4.28% 4.21% 4.91% 3.74% 5.16% 4.96% 5.93% 4.44%
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 18 14 17 17 14 14
Avg Max Decline   -1.44% -2.08% -0.82% -1.98% -1.59% -1.73% -1.38% -1.80% -1.58% -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 6 9 7 7 2
2020 Contract Condition       Yes Yes   Yes Yes   Yes    
Action       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 37 42 45 45 45 45 45 45 45 45
Closed Lower   7 17 17 17 23 20 28 20 18 23 22
Penetrated Low   4 9 12 13 13 18 18 15 11 19 13
Scenario Percentage   57% 53% 71% 76% 57% 90% 64% 75% 61% 83% 59%
Avg Max Decline   6.88% 4.80% 6.04% 6.84% 5.27% 5.21% 6.69% 7.21% 7.06% 6.82% 6.65%
Max Decline   11.55% 9.41% 10.51% 16.22% 15.41% 15.42% 17.94% 16.90% 11.19% 20.26% 17.35%
Avg Days To Max Decline   22 19 15 17 12 17 17 17 19 17 18
Avg Max Increase   -1.61% -1.75% -1.16% -1.97% -1.13% -1.69% -1.86% -1.68% -1.67% -1.75% -0.81%
Max Increase   -5.91% -5.40% -4.09% -5.95% -3.02% -10.79% -4.78% -5.93% -4.74% -6.48% -3.62%
Avg Days to Max Increase   3 8 8 8 5 7 12 10 9 7 4
2020 Contract Condition   Yes Yes     Yes     Yes   Yes Yes
Action   Yes Yes     Yes     Yes   Yes Yes
High 151.250 157.635 147.985 139.150 141.250 139.950 138.350 143.900 147.400 146.930 147.750 141.330
Low 149.550 147.080 132.180 130.180 134.680 126.230 126.050 135.325 138.635 140.550 134.200 128.735
Close/Last 151.250 147.180 132.780 134.030 138.830 128.050 137.700 143.385 143.030 144.235 136.075 131.280

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