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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 Dec 07, 2022
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   22 42 44 45 45 45 45 45 45 45 45
Closed Higher   12 28 27 26 19 24 27 25 31 23 24
Exceeded High   12 27 25 17 18 19 21 25 26 18 16
Scenario Percentage   100% 96% 93% 65% 95% 79% 78% 100% 84% 78% 67%
Avg Max Increase   5.01% 4.28% 4.28% 6.64% 6.08% 5.70% 6.02% 5.86% 4.16% 4.51% 3.05%
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   20 15 15 18 17 21 22 18 16 11 10
Avg Max Decline   -1.02% -0.82% -0.91% -0.90% -1.23% -1.28% -2.10% -1.45% -2.29% -1.35% -0.60%
Max Decline   -2.63% -5.45% -3.21% -4.52% -5.26% -5.91% -7.28% -4.59% -10.67% -7.38% -2.04%
Avg Days to Max Decline   7 7 6 6 7 9 10 9 8 3 2
2022 Contract Condition   Yes Yes Yes         Yes Yes    
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   22 42 44 45 45 45 45 45 45 45 45
Closed Lower   10 14 17 19 26 21 18 19 14 22 20
Penetrated Low   7 7 12 16 20 13 12 14 10 12 15
Scenario Percentage   70% 50% 71% 84% 77% 62% 67% 74% 71% 55% 75%
Avg Max Decline   5.55% 6.24% 8.14% 7.07% 6.05% 5.25% 5.73% 6.98% 5.77% 5.25% 3.37%
Max Decline   11.36% 11.16% 21.37% 22.16% 12.88% 12.96% 13.63% 12.55% 14.03% 13.97% 8.22%
Avg Days To Max Decline   14 22 19 19 17 15 17 17 18 8 10
Avg Max Increase   -0.22% -1.29% -1.25% -1.08% -1.19% -1.50% -1.68% -2.03% -3.46% -1.58% -1.18%
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 7 6 8 4 5 9 9 5 2
2022 Contract Condition         Yes Yes Yes Yes     Yes Yes
Action         Yes Yes Yes No     Yes Yes
High 172.050 180.000 182.750 185.680 189.000 186.000 182.735 181.030 180.135 187.400 190.200 187.000
Low 171.700 170.200 176.135 180.000 182.400 179.200 172.985 168.885 170.680 176.250 180.550 174.000
Close/Last 171.700 178.850 182.750 185.530 183.580 181.830 174.100 170.700 178.680 183.735 183.485 174.180

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