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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 30, 2022
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   23 39 44 45 45 45 45 45 45 45 45
Closed Higher   15 22 27 30 21 25 17 25 29 21 23
Exceeded High   12 17 25 22 15 19 12 22 25 18 13
Scenario Percentage   80% 77% 93% 73% 71% 76% 71% 88% 86% 86% 57%
Avg Max Increase   6.26% 5.66% 4.62% 4.13% 3.96% 4.70% 4.14% 4.97% 4.89% 6.14% 4.54%
Max Increase   15.13% 11.81% 9.73% 9.12% 11.69% 7.98% 8.53% 11.70% 15.68% 16.68% 10.89%
Avg Days To Max Increase   18 21 19 18 14 18 15 19 17 15 16
Avg Max Decline   -1.53% -2.18% -0.85% -1.88% -1.61% -1.31% -1.54% -2.13% -1.73% -1.30% -0.71%
Max Decline   -7.26% -10.19% -2.93% -5.11% -5.64% -5.82% -4.75% -5.65% -8.06% -4.08% -3.08%
Avg Days to Max Decline   7 11 8 10 10 10 6 12 7 6 3
2022 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes    
Action     Yes Yes Yes No   Yes Yes No    
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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   23 39 44 45 45 45 45 45 45 45 45
Closed Lower   8 17 17 15 24 20 28 19 16 24 22
Penetrated Low   5 9 12 11 14 19 18 14 9 20 14
Scenario Percentage   63% 53% 71% 73% 58% 95% 64% 74% 56% 83% 64%
Avg Max Decline   5.93% 4.80% 6.04% 6.37% 5.64% 5.05% 6.69% 7.27% 7.26% 6.89% 6.58%
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   19 19 15 17 13 16 17 17 17 17 18
Avg Max Increase   -1.47% -1.75% -1.16% -1.86% -1.20% -1.88% -1.86% -1.62% -1.31% -1.86% -0.82%
Max Increase   -5.91% -5.40% -4.09% -5.95% -3.02% -10.79% -4.78% -5.93% -3.29% -6.48% -3.62%
Avg Days to Max Increase   3 8 8 8 5 8 12 11 6 8 4
2022 Contract Condition   Yes         Yes       Yes Yes
Action   Yes         Yes       Yes Yes
High 156.600 161.650 157.330 164.385 167.385 171.580 170.530 163.735 169.080 170.830 170.700 169.385
Low 154.635 150.580 148.350 148.550 159.930 164.150 154.500 154.200 152.250 159.900 158.235 156.235
Close/Last 154.635 151.580 153.450 162.150 165.330 169.030 155.385 157.400 166.500 169.950 163.030 157.735

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