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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 May 10, 2021
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 22 22 25 30 17 27 28 28 27 25
Exceeded High   20 17 19 24 22 16 25 18 24 24 19
Scenario Percentage   91% 77% 86% 96% 73% 94% 93% 64% 86% 89% 76%
Avg Max Increase   4.95% 4.61% 4.39% 3.97% 3.35% 4.17% 4.86% 4.75% 5.65% 6.05% 4.35%
Max Increase   20.95% 13.59% 9.76% 8.69% 7.21% 14.40% 14.77% 13.79% 14.42% 15.29% 8.50%
Avg Days To Max Increase   14 17 21 20 19 15 20 18 18 17 16
Avg Max Decline   -0.93% -1.38% -1.53% -1.15% -2.18% -1.26% -1.67% -1.44% -2.05% -1.94% -0.79%
Max Decline   -2.60% -4.56% -3.66% -3.92% -8.02% -3.25% -8.32% -3.73% -7.80% -7.68% -4.16%
Avg Days to Max Decline   7 12 12 9 14 10 12 9 7 13 3
2021 Contract Condition       Yes   Yes   Yes   Yes Yes Yes
Action       Yes   Yes   No   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 23 23 20 15 28 18 16 17 18 20
Penetrated Low   18 14 14 16 13 20 15 10 11 10 11
Scenario Percentage   82% 61% 61% 80% 87% 71% 83% 63% 65% 56% 55%
Avg Max Decline   4.74% 4.02% 5.30% 4.68% 6.33% 5.33% 4.88% 4.73% 7.85% 8.58% 3.40%
Max Decline   10.34% 7.20% 13.25% 11.40% 13.21% 17.59% 16.80% 14.48% 13.67% 11.46% 5.28%
Avg Days To Max Decline   16 18 19 20 16 15 18 11 15 18 15
Avg Max Increase   -0.58% -1.00% -1.31% -1.91% -1.73% -1.53% -2.90% -1.54% -1.02% -1.36% -1.05%
Max Increase   -1.90% -2.37% -3.40% -4.18% -3.98% -3.83% -9.53% -4.22% -2.27% -3.54% -4.21%
Avg Days to Max Increase   6 7 8 14 4 10 11 9 4 6 5
2021 Contract Condition   Yes Yes   Yes   Yes   Yes      
Action   Yes No   No   Yes   No      
High 121.635 118.230 107.680 112.600 109.635 114.635 116.530 116.635 116.530 115.450 116.300 117.635
Low 114.150 97.135 93.950 104.100 104.835 107.030 111.430 111.030 105.530 109.000 110.550 111.350
Close/Last 115.635 104.780 104.550 108.430 107.400 114.550 112.335 115.885 110.400 112.885 115.030 115.050

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