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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Feeder Cattle(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   18 38 41 44 45 45 45 45 45 45 45
Closed Higher   9 24 26 26 20 27 27 24 27 24 23
Exceeded High   9 23 24 17 19 20 20 23 22 20 15
Scenario Percentage   100% 96% 92% 65% 95% 74% 74% 96% 81% 83% 65%
Avg Max Increase   5.11% 4.51% 4.26% 7.17% 6.37% 6.15% 6.13% 5.69% 4.34% 4.62% 3.07%
Max Increase   10.29% 13.53% 15.47% 23.85% 24.60% 17.00% 13.06% 10.74% 10.60% 17.30% 10.87%
Avg Days To Max Increase   19 15 15 19 17 20 22 17 15 11 10
Avg Max Decline   -0.95% -0.69% -1.00% -1.23% -1.30% -1.34% -1.88% -1.46% -2.14% -1.43% -0.55%
Max Decline   -2.63% -5.45% -3.21% -5.02% -5.26% -5.91% -7.28% -4.59% -6.61% -7.38% -2.04%
Avg Days to Max Decline   6 8 7 5 6 10 10 10 8 3 2
2018 Contract Condition       Yes Yes   Yes Yes Yes     Yes
Action       Yes No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   18 38 41 44 45 45 45 45 45 45 45
Closed Lower   9 14 15 18 25 18 18 20 18 21 21
Penetrated Low   6 7 11 14 19 11 13 15 14 12 15
Scenario Percentage   67% 50% 73% 78% 76% 61% 72% 75% 78% 57% 71%
Avg Max Decline   6.24% 6.24% 6.94% 6.08% 6.94% 7.31% 6.69% 6.84% 7.66% 6.06% 3.43%
Max Decline   11.36% 11.16% 16.84% 14.96% 30.86% 31.86% 13.63% 12.55% 24.37% 16.33% 8.22%
Avg Days To Max Decline   16 22 19 19 18 14 16 17 17 9 11
Avg Max Increase   -0.22% -1.29% -1.09% -0.96% -1.60% -1.28% -1.55% -1.89% -3.26% -1.26% -1.34%
Max Increase   -1.36% -2.37% -5.30% -5.10% -6.89% -6.70% -5.55% -4.95% -7.79% -4.23% -4.45%
Avg Days to Max Increase   3 7 6 5 9 5 5 9 9 4 2
2018 Contract Condition   Yes Yes     Yes       Yes Yes  
Action   Yes No     Yes       Yes Not Yet  
High 153.250 155.400 149.330 151.580 155.250 153.700 149.180 148.500 150.735 155.385 153.450 159.900
Low 151.485 146.600 141.885 143.000 149.250 141.135 137.250 137.600 143.280 148.235 145.635 148.100
Close/Last 153.250 149.850 146.350 149.780 151.500 141.500 146.250 147.000 150.080 149.950 149.135 158.180

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