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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 Jan 21, 2022
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   22 39 44 44 45 45 45 45 45 45 45
Closed Higher   10 23 27 27 25 20 25 26 26 28 23
Exceeded High   8 21 26 25 17 19 19 20 25 23 11
Scenario Percentage   80% 91% 96% 93% 68% 95% 76% 77% 96% 82% 48%
Avg Max Increase   3.94% 4.69% 4.24% 4.58% 6.85% 6.06% 5.85% 6.28% 5.73% 4.41% 3.30%
Max Increase   9.04% 11.41% 14.35% 16.98% 23.72% 23.29% 15.76% 13.40% 10.82% 13.07% 6.71%
Avg Days To Max Increase   14 18 15 16 18 17 19 22 18 14 15
Avg Max Decline   -0.95% -0.97% -0.85% -0.99% -0.96% -1.23% -1.24% -2.21% -1.41% -1.87% -0.66%
Max Decline   -2.20% -3.13% -6.06% -3.61% -3.70% -5.60% -6.51% -6.69% -4.86% -6.34% -1.79%
Avg Days to Max Decline   10 9 8 7 6 6 8 9 8 7 3
2021 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes Yes Yes
Action     Yes Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 39 44 44 45 45 45 45 45 45 45
Closed Lower   12 16 16 17 20 25 20 19 19 17 22
Penetrated Low   9 12 8 12 17 20 12 11 13 12 10
Scenario Percentage   75% 75% 50% 71% 85% 80% 60% 58% 68% 71% 45%
Avg Max Decline   3.74% 5.71% 5.91% 8.03% 6.97% 6.23% 5.55% 7.01% 7.17% 4.25% 2.81%
Max Decline   11.88% 14.00% 11.05% 21.57% 22.25% 13.56% 12.63% 13.61% 12.06% 8.00% 5.30%
Avg Days To Max Decline   10 16 17 19 17 15 18 20 17 17 12
Avg Max Increase   -1.41% -0.52% -1.21% -1.27% -1.03% -1.21% -1.80% -1.90% -2.03% -3.04% -1.04%
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 6 4 7 8 6 9 11 3
2021 Contract Condition   Yes           Yes        
Action   No           Yes        
High 146.550 145.780 147.485 151.000 155.850 155.550 160.780 163.180 159.750 161.750 165.530 169.530
Low 144.830 135.825 141.800 145.250 145.930 150.385 150.850 148.885 143.750 148.030 155.100 160.050
Close/Last 144.830 142.580 147.000 148.850 150.750 152.830 157.800 149.280 153.530 157.430 161.800 163.000

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