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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 Dec 27, 2023
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   23 42 45 45 45 45 45 45 45 45 45
Closed Higher   12 19 27 29 28 26 19 24 26 28 28
Exceeded High   10 13 24 28 25 18 17 21 21 27 22
Scenario Percentage   83% 68% 89% 97% 89% 69% 89% 88% 81% 96% 79%
Avg Max Increase   4.39% 3.99% 4.24% 3.92% 4.40% 6.38% 5.49% 5.18% 6.06% 5.55% 3.39%
Max Increase   7.56% 9.20% 11.09% 13.82% 11.01% 22.87% 22.24% 16.08% 13.45% 12.08% 10.72%
Avg Days To Max Increase   13 20 20 16 17 17 18 20 19 17 15
Avg Max Decline   -1.12% -1.49% -1.32% -1.12% -1.07% -1.32% -1.48% -1.82% -2.30% -1.45% -1.02%
Max Decline   -2.86% -3.21% -4.34% -5.57% -3.12% -4.38% -5.63% -6.81% -7.20% -4.71% -2.83%
Avg Days to Max Decline   8 8 11 10 6 6 11 11 9 6 4
2023 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes Yes  
Action     Yes   Yes Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   23 42 45 45 45 45 45 45 45 45 45
Closed Lower   10 23 18 16 17 19 26 21 19 17 17
Penetrated Low   9 13 11 8 13 16 22 13 8 13 9
Scenario Percentage   90% 57% 61% 50% 76% 84% 85% 62% 42% 76% 53%
Avg Max Decline   4.64% 6.08% 7.05% 6.10% 7.77% 7.94% 6.58% 5.37% 7.66% 6.00% 2.64%
Max Decline   15.04% 15.87% 15.49% 10.70% 21.82% 22.27% 14.64% 12.20% 12.42% 12.18% 5.65%
Avg Days To Max Decline   16 16 18 16 18 19 15 19 23 16 8
Avg Max Increase   -2.25% -1.07% -0.44% -1.30% -1.32% -1.15% -1.24% -2.37% -2.47% -2.20% -1.07%
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 6 6 7 8 13 6 3
2023 Contract Condition   Yes   Yes               Yes
Action   Yes   No               Not Yet
High 200.000 201.350 201.885 201.600 203.550 207.180 213.250 222.885 232.230 239.850 248.080 251.300
Low 197.000 194.480 193.850 196.400 199.500 202.000 204.750 211.480 218.900 221.150 226.700 240.800
Close/Last 198.100 195.030 200.700 200.400 202.635 206.930 213.180 221.980 230.730 239.180 247.580 245.600

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