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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 25 30 18 23 25 29 27 27 29 25
Exceeded High   19 24 22 16 22 17 24 24 23 23 20
Scenario Percentage   86% 96% 73% 89% 96% 68% 83% 89% 85% 79% 80%
Avg Max Increase   4.05% 4.59% 3.54% 3.24% 3.61% 3.98% 5.34% 5.27% 7.26% 7.40% 5.74%
Max Increase   11.22% 24.64% 11.79% 10.35% 8.55% 12.19% 12.39% 15.44% 23.63% 23.61% 17.27%
Avg Days To Max Increase   20 21 16 16 18 19 16 20 19 14 14
Avg Max Decline   -1.32% -0.97% -1.68% -1.44% -1.87% -1.32% -1.99% -1.44% -1.59% -1.42% -1.07%
Max Decline   -3.66% -3.41% -7.69% -3.52% -8.67% -3.62% -6.20% -3.48% -4.87% -4.16% -2.90%
Avg Days to Max Decline   10 7 9 17 12 10 10 13 9 7 2
2019 Contract Condition   Yes Yes Yes   Yes     Yes Yes Yes  
Action   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Lower   22 19 14 27 21 20 15 18 18 16 20
Penetrated Low   13 14 12 18 17 12 10 10 14 10 15
Scenario Percentage   59% 74% 86% 67% 81% 60% 67% 56% 78% 63% 75%
Avg Max Decline   5.45% 4.66% 6.07% 5.39% 4.69% 4.29% 7.20% 8.16% 5.99% 8.25% 4.59%
Max Decline   12.45% 12.27% 12.81% 17.53% 15.87% 13.03% 15.83% 14.02% 13.57% 16.04% 11.54%
Avg Days To Max Decline   19 20 14 12 17 13 11 20 17 14 15
Avg Max Increase   -1.37% -1.53% -1.66% -1.03% -2.08% -1.66% -1.08% -1.98% -2.25% -1.23% -1.26%
Max Increase   -4.45% -4.22% -4.31% -4.40% -8.96% -3.38% -4.52% -4.32% -5.34% -4.89% -3.09%
Avg Days to Max Increase   7 12 5 7 11 9 2 12 8 7 5
2019 Contract Condition         Yes   Yes Yes       Yes
Action         No   Yes No       Yes
High 116.635 116.680 117.585 120.350 120.385 124.050 124.930 124.250 126.950 129.485 130.100 130.450
Low 110.430 111.100 113.250 116.000 115.135 117.385 121.335 118.550 121.450 123.500 125.750 125.630
Close/Last 114.835 115.780 117.300 118.050 117.900 123.900 123.350 122.000 126.250 126.300 129.850 125.700

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