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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 Jun 30, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 26 31 18 24 26 31 29 28 28 23
Exceeded High   20 25 23 15 23 19 26 26 24 22 18
Scenario Percentage   87% 96% 74% 83% 96% 73% 84% 90% 86% 79% 78%
Avg Max Increase   4.25% 3.70% 3.08% 3.27% 3.71% 4.09% 5.20% 5.21% 7.12% 6.61% 4.59%
Max Increase   11.22% 7.69% 5.41% 10.35% 8.55% 12.19% 12.39% 15.44% 23.63% 18.98% 15.80%
Avg Days To Max Increase   22 20 17 16 18 19 18 20 19 13 13
Avg Max Decline   -1.44% -0.97% -1.52% -1.41% -2.08% -1.23% -1.94% -1.61% -1.55% -1.33% -0.96%
Max Decline   -3.66% -3.41% -7.69% -3.52% -8.67% -3.62% -6.20% -4.00% -4.87% -4.16% -2.31%
Avg Days to Max Decline   10 7 9 18 13 10 10 13 9 7 2
2022 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes      
Action   Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 19 13 27 20 19 13 16 17 17 22
Penetrated Low   13 13 11 18 15 11 8 8 14 12 16
Scenario Percentage   59% 68% 85% 67% 75% 58% 62% 50% 82% 71% 73%
Avg Max Decline   5.16% 4.85% 5.46% 4.78% 4.40% 3.98% 6.23% 7.05% 7.41% 9.24% 5.53%
Max Decline   12.45% 12.27% 10.48% 17.53% 15.87% 13.03% 14.30% 10.53% 23.89% 24.29% 20.02%
Avg Days To Max Decline   18 21 12 14 18 13 10 20 16 16 16
Avg Max Increase   -1.17% -1.36% -1.54% -1.24% -2.23% -1.51% -0.52% -2.02% -2.11% -1.86% -1.06%
Max Increase   -4.45% -4.22% -4.31% -4.40% -8.96% -3.35% -1.60% -4.32% -5.34% -4.89% -3.09%
Avg Days to Max Increase   7 12 4 9 13 10 1 14 8 9 5
2022 Contract Condition           Yes       Yes Yes Yes
Action           No       Yes Yes Not Yet
High 133.000 135.050 138.400 140.600 142.735 141.600 139.600 144.600 145.850 145.300 148.700 142.350
Low 128.930 129.850 129.885 136.485 138.450 132.985 133.530 136.485 139.930 139.030 140.250 133.500
Close/Last 131.050 132.900 137.850 139.200 140.950 133.900 137.235 141.080 144.830 144.530 141.430 139.385

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