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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   21 36 42 43 43 44 44 45 45 45 45
Closed Higher   12 21 28 19 22 18 25 27 26 27 21
Exceeded High   11 19 21 15 19 12 22 24 23 21 19
Scenario Percentage   92% 90% 75% 79% 86% 67% 88% 89% 88% 78% 90%
Avg Max Increase   5.42% 4.52% 3.98% 3.76% 4.17% 4.42% 4.95% 4.91% 5.66% 6.99% 3.99%
Max Increase   11.53% 9.99% 8.89% 10.58% 8.15% 10.94% 10.71% 15.89% 18.88% 21.09% 13.09%
Avg Days To Max Increase   18 19 18 14 18 19 19 16 17 12 12
Avg Max Decline   -2.22% -0.80% -1.62% -1.33% -1.13% -1.39% -1.55% -1.28% -1.64% -1.57% -0.74%
Max Decline   -9.58% -2.55% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.58% -3.21%
Avg Days to Max Decline   7 10 12 9 9 8 9 8 10 5 1
2019 Contract Condition   Yes Yes Yes   Yes     Yes   Yes  
Action   Yes Yes Yes   Yes     No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   21 36 42 43 43 44 44 45 45 45 45
Closed Lower   9 15 14 24 21 25 19 18 19 18 24
Penetrated Low   6 11 10 14 19 16 13 11 14 12 14
Scenario Percentage   67% 73% 71% 58% 90% 64% 68% 61% 74% 67% 58%
Avg Max Decline   3.50% 6.03% 6.05% 5.04% 4.92% 6.95% 6.85% 7.33% 7.34% 8.24% 5.13%
Max Decline   8.48% 10.47% 15.90% 15.39% 15.76% 18.71% 17.23% 15.63% 16.52% 13.35% 9.69%
Avg Days To Max Decline   19 14 16 13 19 16 16 19 18 14 12
Avg Max Increase   -1.42% -1.34% -2.01% -0.97% -1.57% -1.46% -1.28% -1.69% -1.69% -0.62% -0.66%
Max Increase   -4.95% -4.71% -6.32% -2.92% -10.72% -4.67% -5.68% -3.59% -6.36% -2.82% -1.71%
Avg Days to Max Increase   6 7 11 9 9 12 6 8 6 4 2
2019 Contract Condition         Yes   Yes Yes   Yes   Yes
Action         Yes   Yes Yes   No   Not Yet
High 140.900 142.050 146.750 152.330 152.000 153.735 155.700 150.200 147.830 147.180 147.330 150.800
Low 139.300 135.050 141.000 145.450 145.100 145.000 147.330 141.600 141.300 142.635 143.830 143.500
Close/Last 139.300 141.580 146.485 148.830 145.850 153.580 149.500 143.635 147.250 144.280 146.150 145.250

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