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