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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 Sep 26, 2023
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 27 32 19 23 27 31 29 28 28 23
Exceeded High   20 26 24 16 22 20 26 26 24 22 18
Scenario Percentage   87% 96% 75% 84% 96% 74% 84% 90% 86% 79% 78%
Avg Max Increase   4.25% 3.70% 3.09% 3.17% 3.72% 4.00% 4.90% 4.85% 6.28% 5.93% 4.39%
Max Increase   11.22% 7.69% 5.41% 10.35% 8.55% 12.19% 12.39% 15.44% 17.14% 16.17% 14.21%
Avg Days To Max Increase   22 20 17 17 18 20 18 20 19 12 12
Avg Max Decline   -1.44% -0.96% -1.46% -1.47% -2.06% -1.25% -1.98% -1.57% -1.58% -1.47% -0.87%
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 8 18 12 10 11 13 10 8 2
2023 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action     Yes Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 18 12 26 21 18 13 16 17 17 22
Penetrated Low   12 12 10 18 15 11 8 8 14 12 16
Scenario Percentage   55% 67% 83% 69% 71% 61% 62% 50% 82% 71% 73%
Avg Max Decline   4.72% 4.23% 5.34% 4.78% 4.40% 3.98% 6.23% 7.05% 7.41% 9.24% 5.46%
Max Decline   12.45% 8.72% 10.48% 17.53% 15.87% 13.03% 14.30% 10.53% 23.89% 24.29% 20.02%
Avg Days To Max Decline   18 22 12 14 18 13 10 20 16 16 15
Avg Max Increase   -1.22% -1.46% -1.70% -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   8 13 4 9 13 10 1 14 8 9 5
2023 Contract Condition   Yes       Yes            
Action   No       No            
High 158.280 158.000 156.985 155.280 158.885 159.650 159.800 160.300 162.750 163.580 166.400 168.530
Low 152.830 150.885 151.485 152.080 154.635 153.430 154.500 156.235 156.850 158.550 162.000 160.635
Close/Last 155.280 151.250 153.030 154.800 157.280 154.300 159.080 159.280 161.800 163.030 165.485 168.350

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