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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Live Cattle(CME) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   21 22 22 26 30 18 27 27 27 26 24
Exceeded High   19 17 19 25 22 17 25 17 23 23 18
Scenario Percentage   90% 77% 86% 96% 73% 94% 93% 63% 85% 88% 75%
Avg Max Increase   5.03% 4.61% 4.51% 5.10% 3.94% 4.29% 4.61% 4.76% 5.86% 6.49% 4.63%
Max Increase   20.95% 13.59% 9.76% 22.73% 14.74% 14.40% 14.77% 13.79% 14.42% 15.29% 8.50%
Avg Days To Max Increase   14 17 21 20 19 14 19 18 18 18 17
Avg Max Decline   -0.95% -1.38% -1.61% -1.32% -2.18% -1.25% -1.69% -1.52% -2.02% -1.89% -0.82%
Max Decline   -2.60% -4.56% -4.69% -5.28% -8.02% -3.25% -8.32% -3.73% -7.80% -7.68% -4.16%
Avg Days to Max Decline   7 12 13 9 13 10 12 10 7 13 3
2019 Contract Condition     Yes Yes Yes Yes Yes Yes     Yes Yes
Action     Yes Yes Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 22 23 19 15 27 18 17 18 19 21
Penetrated Low   17 14 14 16 13 19 15 11 12 11 11
Scenario Percentage   81% 64% 61% 84% 87% 70% 83% 65% 67% 58% 52%
Avg Max Decline   4.41% 4.12% 5.61% 4.68% 6.33% 5.36% 4.88% 5.14% 8.61% 9.82% 3.39%
Max Decline   8.00% 7.25% 13.25% 11.40% 13.21% 17.59% 16.80% 14.48% 16.95% 16.13% 5.22%
Avg Days To Max Decline   16 19 20 20 16 14 18 12 15 17 14
Avg Max Increase   -0.73% -1.07% -1.53% -1.91% -1.73% -1.39% -2.90% -1.57% -1.31% -1.26% -1.19%
Max Increase   -1.90% -2.37% -4.08% -4.18% -3.98% -3.44% -9.53% -4.22% -4.48% -3.54% -4.21%
Avg Days to Max Increase   6 7 8 14 4 10 11 9 5 6 5
2019 Contract Condition   Yes             Yes Yes    
Action   Yes             Yes No    
High 119.335 119.450 115.950 116.600 116.500 119.000 119.000 123.000 123.900 122.900 124.950 127.950
Low 116.000 112.135 109.100 110.230 111.850 113.980 114.050 116.400 120.230 116.680 119.835 121.430
Close/Last 118.280 112.350 113.980 115.150 116.335 116.780 116.885 122.800 122.200 120.500 123.880 124.800

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