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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 37 42 42 45 45 45 45 45 45 45
Closed Higher   9 21 25 26 26 21 27 25 26 26 23
Exceeded High   7 19 24 24 18 20 20 19 24 21 12
Scenario Percentage   78% 90% 96% 92% 69% 95% 74% 76% 92% 81% 52%
Avg Max Increase   3.98% 4.67% 4.32% 4.50% 7.41% 6.45% 6.31% 6.46% 5.65% 4.50% 4.08%
Max Increase   9.04% 11.41% 14.35% 16.98% 23.72% 23.29% 15.76% 13.40% 10.82% 13.07% 13.04%
Avg Days To Max Increase   12 19 15 15 18 17 19 22 18 13 14
Avg Max Decline   -0.85% -0.95% -0.77% -1.03% -1.23% -1.22% -1.24% -1.91% -1.41% -1.86% -0.69%
Max Decline   -2.20% -3.13% -6.06% -3.61% -4.67% -5.60% -6.51% -6.69% -4.86% -6.34% -1.79%
Avg Days to Max Decline   8 9 9 7 5 7 9 9 8 6 3
2019 Contract Condition       Yes   Yes Yes     Yes Yes  
Action       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 37 42 42 45 45 45 45 45 45 45
Closed Lower   11 16 16 16 19 24 18 20 19 19 21
Penetrated Low   9 12 8 11 16 19 11 12 14 14 9
Scenario Percentage   82% 75% 50% 69% 84% 79% 61% 60% 74% 74% 43%
Avg Max Decline   3.74% 5.71% 5.91% 6.80% 6.02% 5.85% 5.72% 7.68% 7.02% 4.69% 2.85%
Max Decline   11.88% 14.00% 11.05% 16.56% 16.03% 12.14% 12.63% 15.13% 12.06% 10.37% 5.30%
Avg Days To Max Decline   10 16 17 19 18 16 19 19 17 16 12
Avg Max Increase   -1.41% -0.52% -1.21% -1.10% -0.92% -1.42% -1.91% -1.78% -1.84% -3.12% -1.06%
Max Increase   -4.91% -1.99% -2.54% -5.25% -4.98% -8.09% -7.37% -5.54% -5.51% -8.36% -2.72%
Avg Days to Max Increase   10 5 6 5 4 7 8 5 8 11 3
2019 Contract Condition   Yes Yes   Yes     Yes Yes     Yes
Action   Yes Yes   No     Yes Yes     Not Yet
High 155.450 156.700 153.400 151.550 151.430 152.450 160.000 162.680 151.735 141.030 144.680 143.385
Low 154.500 150.850 145.800 145.700 148.050 148.750 150.900 150.385 133.235 131.530 136.400 127.200
Close/Last 154.500 152.250 147.780 151.300 149.300 152.080 157.735 150.550 134.075 136.700 142.450 132.400

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