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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   20 39 43 43 43 45 45 45 45 45 45
Closed Higher   11 16 25 26 27 27 21 27 25 26 26
Exceeded High   10 10 22 25 24 19 19 22 19 24 20
Scenario Percentage   91% 63% 88% 96% 89% 70% 90% 81% 76% 92% 77%
Avg Max Increase   4.26% 4.05% 4.47% 4.42% 4.72% 7.43% 7.00% 6.12% 6.40% 5.71% 3.53%
Max Increase   7.56% 9.20% 11.09% 14.29% 16.73% 22.87% 24.60% 17.35% 14.24% 12.08% 10.72%
Avg Days To Max Increase   15 17 20 16 17 18 18 19 18 17 15
Avg Max Decline   -1.20% -1.25% -1.27% -0.99% -1.25% -1.49% -1.55% -1.62% -1.84% -1.36% -1.02%
Max Decline   -2.86% -3.21% -4.34% -5.57% -4.41% -5.00% -5.63% -6.81% -7.20% -4.71% -2.83%
Avg Days to Max Decline   11 7 9 10 8 6 10 11 8 6 3
2019 Contract Condition   Yes     Yes   Yes Yes     Yes Yes
Action   Yes     Yes   Yes Yes     Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   20 39 43 43 43 45 45 45 45 45 45
Closed Lower   8 23 18 17 16 18 24 18 20 19 19
Penetrated Low   8 14 11 9 12 14 20 11 10 14 12
Scenario Percentage   100% 61% 61% 53% 75% 78% 83% 61% 50% 74% 63%
Avg Max Decline   5.15% 5.69% 7.05% 5.70% 6.60% 6.98% 6.09% 5.73% 8.70% 6.06% 2.58%
Max Decline   15.04% 15.87% 15.49% 10.70% 16.93% 18.30% 12.76% 12.20% 15.85% 12.18% 5.65%
Avg Days To Max Decline   16 15 18 16 18 19 16 20 20 15 7
Avg Max Increase   -2.41% -1.00% -0.44% -1.25% -1.14% -1.01% -1.46% -2.25% -2.08% -2.23% -1.04%
Max Increase   -10.70% -4.41% -1.54% -2.95% -5.44% -4.89% -7.40% -8.42% -5.97% -6.78% -3.67%
Avg Days to Max Increase   9 8 4 6 5 5 7 8 11 7 3
2019 Contract Condition     Yes Yes   Yes     Yes Yes    
Action     Yes Yes   No     Yes Yes    
High 147.830 155.000 157.000 153.350 151.450 151.330 152.235 159.830 161.400 150.400 141.080 143.900
Low 146.735 149.080 151.000 145.885 145.830 147.700 148.385 150.050 149.000 132.150 130.950 136.030
Close/Last 146.735 154.850 152.530 148.180 151.200 148.930 151.600 156.250 149.150 133.135 136.850 141.530

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