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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 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   22 37 43 44 44 45 45 45 45 45 45
Closed Higher   12 21 29 19 23 19 26 28 26 26 20
Exceeded High   11 19 21 15 20 13 23 25 23 20 18
Scenario Percentage   92% 90% 72% 79% 87% 68% 88% 89% 88% 77% 90%
Avg Max Increase   5.42% 4.52% 3.98% 3.76% 4.32% 4.30% 4.89% 4.81% 5.66% 6.72% 4.18%
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 13 14
Avg Max Decline   -2.22% -0.80% -1.62% -1.33% -1.14% -1.53% -1.55% -1.31% -1.64% -1.46% -0.66%
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 9 9 8 10 5 1
2020 Contract Condition       Yes   Yes Yes Yes Yes      
Action       No   Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   22 37 43 44 44 45 45 45 45 45 45
Closed Lower   10 16 14 25 21 25 19 17 19 19 25
Penetrated Low   7 12 10 15 19 16 13 10 15 13 15
Scenario Percentage   70% 75% 71% 60% 90% 64% 68% 59% 79% 68% 60%
Avg Max Decline   3.46% 6.01% 6.05% 4.79% 4.92% 6.95% 6.85% 6.50% 8.28% 9.27% 5.86%
Max Decline   8.48% 10.47% 15.90% 15.39% 15.76% 18.71% 17.23% 11.37% 21.40% 21.67% 14.75%
Avg Days To Max Decline   20 14 16 12 19 16 16 19 18 13 13
Avg Max Increase   -1.65% -1.61% -2.01% -1.02% -1.57% -1.46% -1.28% -1.70% -1.85% -0.84% -0.47%
Max Increase   -4.95% -4.71% -6.32% -2.92% -10.72% -4.67% -5.68% -3.59% -6.36% -3.45% -1.71%
Avg Days to Max Increase   7 8 11 9 9 12 6 9 7 4 2
2020 Contract Condition   Yes Yes   Yes         Yes Yes Yes
Action   Yes Yes   Yes         Yes Yes Yes
High 156.750 148.550 139.830 141.650 140.450 139.485 145.030 148.680 148.680 150.330 143.250 137.280
Low 147.885 133.400 131.300 135.930 127.630 127.350 136.950 140.135 142.550 135.950 130.150 108.100
Close/Last 147.885 135.700 135.500 139.430 128.930 138.885 144.635 144.985 146.750 137.530 132.700 121.930

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