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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 Sep 30, 2022
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   29 40 45 45 45 45 45 45 45 45 45
Closed Higher   19 25 26 20 24 26 25 31 23 25 19
Exceeded High   19 22 18 19 18 22 25 26 18 20 8
Scenario Percentage   100% 88% 69% 95% 75% 85% 100% 84% 78% 80% 42%
Avg Max Increase   4.79% 4.48% 6.86% 5.85% 5.66% 5.38% 5.53% 4.55% 4.44% 3.14% 2.06%
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   18 17 18 16 20 20 18 16 9 10 7
Avg Max Decline   -0.68% -0.81% -1.01% -1.04% -1.28% -1.86% -1.28% -1.85% -1.34% -1.02% -0.75%
Max Decline   -3.05% -3.23% -5.05% -5.29% -4.77% -6.17% -3.99% -6.29% -7.19% -2.91% -1.65%
Avg Days to Max Decline   8 6 7 6 12 10 10 8 7 4 2
2022 Contract Condition   Yes Yes         Yes Yes      
Action   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   29 40 45 45 45 45 45 45 45 45 45
Closed Lower   10 15 19 24 20 19 20 14 22 20 24
Penetrated Low   5 11 14 18 12 13 12 10 12 18 12
Scenario Percentage   50% 73% 74% 75% 60% 68% 60% 71% 55% 90% 50%
Avg Max Decline   4.99% 6.90% 8.72% 5.52% 5.17% 5.87% 6.77% 6.10% 5.92% 4.53% 2.61%
Max Decline   11.89% 21.06% 22.26% 12.41% 12.93% 12.57% 12.22% 15.89% 14.99% 12.76% 7.00%
Avg Days To Max Decline   11 16 17 16 17 18 17 15 10 12 8
Avg Max Increase   -1.05% -1.23% -1.13% -1.04% -1.19% -1.42% -1.78% -2.72% -1.39% -1.83% -0.61%
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 6 5 7 4 4 10 9 6 7 2
2022 Contract Condition       Yes Yes Yes Yes     Yes Yes  
Action       Yes Yes Yes No     Yes Not Yet  
High 181.030 182.780 185.800 189.330 186.750 183.985 182.235 181.580 188.750 191.430 187.830  
Low 176.430 176.300 179.800 183.000 180.000 175.050 170.850 172.885 178.830 182.350 174.235  
Close/Last 179.000 182.430 185.430 183.950 183.050 176.300 172.735 180.700 185.200 184.530 174.635  

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