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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   26 37 43 44 44 45 45 45 45 45 45
Closed Higher   16 24 25 20 26 26 25 28 23 25 18
Exceeded High   16 21 17 19 19 21 24 24 19 21 7
Scenario Percentage   100% 88% 68% 95% 73% 81% 96% 86% 83% 84% 39%
Avg Max Increase   5.08% 4.36% 7.22% 6.40% 6.10% 5.49% 5.39% 4.64% 4.57% 3.54% 1.91%
Max Increase   14.30% 16.22% 23.60% 23.93% 16.07% 13.13% 10.86% 10.23% 16.13% 10.84% 4.51%
Avg Days To Max Increase   17 16 19 16 20 19 17 16 10 10 7
Avg Max Decline   -0.53% -0.84% -1.09% -1.01% -1.33% -1.64% -1.30% -1.95% -1.38% -1.40% -0.79%
Max Decline   -3.05% -3.23% -5.05% -5.29% -4.77% -6.17% -3.99% -6.29% -7.19% -8.14% -1.65%
Avg Days to Max Decline   9 6 7 6 12 9 10 9 7 5 2
2018 Contract Condition     Yes Yes   Yes Yes Yes Yes   Yes  
Action     Yes No   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   26 37 43 44 44 45 45 45 45 45 45
Closed Lower   10 13 18 23 17 19 20 17 22 20 25
Penetrated Low   5 10 13 17 10 13 13 13 12 18 13
Scenario Percentage   50% 77% 72% 74% 59% 68% 65% 76% 55% 90% 52%
Avg Max Decline   4.99% 5.48% 7.71% 5.12% 4.57% 6.51% 6.62% 8.37% 6.94% 4.53% 2.83%
Max Decline   11.89% 16.98% 22.26% 11.39% 10.11% 12.57% 12.22% 25.87% 16.68% 12.76% 7.00%
Avg Days To Max Decline   11 16 18 16 18 17 16 14 11 12 8
Avg Max Increase   -1.05% -1.09% -1.05% -1.26% -1.26% -1.37% -1.64% -2.70% -1.15% -1.83% -0.65%
Max Increase   -1.89% -5.12% -5.50% -6.67% -6.89% -5.06% -4.87% -8.96% -3.73% -7.18% -2.00%
Avg Days to Max Increase   6 4 6 7 4 4 9 9 4 7 2
2018 Contract Condition   Yes     Yes         Yes   Yes
Action   No     Yes         No   Yes
High 149.580 147.650 151.250 154.700 152.985 148.650 148.385 150.330 155.400 153.580 159.400 159.735
Low 146.050 141.550 142.500 148.885 140.885 137.430 138.400 143.530 148.430 146.050 147.830 152.050
Close/Last 148.030 144.050 149.500 150.780 141.100 145.330 147.235 149.750 150.135 149.000 158.050 153.485

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