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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 09, 2024
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 21 22 28 32 20 26 29 26 27 25
Exceeded High   20 16 20 27 24 18 23 20 22 24 19
Scenario Percentage   91% 76% 91% 96% 75% 90% 88% 69% 85% 89% 76%
Avg Max Increase   3.97% 4.18% 4.66% 3.92% 3.28% 4.08% 4.94% 4.67% 5.09% 5.60% 4.44%
Max Increase   13.33% 10.97% 9.77% 8.69% 7.21% 14.39% 14.78% 13.80% 14.42% 15.29% 8.26%
Avg Days To Max Increase   15 18 22 20 19 16 19 19 17 18 17
Avg Max Decline   -1.03% -1.38% -1.50% -1.14% -1.73% -1.30% -1.34% -1.43% -2.22% -1.96% -0.60%
Max Decline   -2.60% -4.56% -3.65% -3.93% -5.54% -3.25% -4.38% -3.74% -7.79% -7.68% -2.31%
Avg Days to Max Decline   9 12 11 9 14 11 11 9 8 14 2
2024 Contract Condition   Yes Yes Yes Yes Yes Yes Yes       Yes
Action   Yes Yes Yes Yes Yes Yes No       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 24 23 17 13 25 19 16 19 18 20
Penetrated Low   18 14 13 14 11 19 15 11 12 9 11
Scenario Percentage   82% 58% 57% 82% 85% 76% 79% 69% 63% 50% 55%
Avg Max Decline   4.74% 4.02% 4.84% 4.17% 5.77% 4.95% 4.88% 5.40% 7.65% 8.79% 3.76%
Max Decline   10.34% 7.21% 13.25% 9.31% 10.27% 17.59% 16.80% 14.48% 13.68% 12.45% 9.17%
Avg Days To Max Decline   16 18 18 21 15 14 18 11 14 18 16
Avg Max Increase   -0.58% -1.01% -1.36% -1.92% -1.71% -1.61% -2.90% -1.51% -0.96% -1.45% -1.05%
Max Increase   -1.90% -2.36% -3.40% -4.19% -3.94% -3.83% -9.53% -4.23% -2.28% -3.54% -4.21%
Avg Days to Max Increase   6 7 8 15 3 11 11 9 4 6 5
2024 Contract Condition                 Yes Yes Yes  
Action                 Yes Yes Not Yet  
High 170.750 174.000 176.350 179.680 187.000 191.750 190.980 196.600 194.730 186.650 172.430 179.530
Low 168.430 168.350 172.680 172.050 179.050 184.200 186.080 187.580 179.550 168.630 162.400 169.000
Close/Last 170.600 173.650 175.550 179.430 186.950 187.180 188.850 192.500 184.630 171.830 168.500 177.350

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