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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 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 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 28 32 20 23 27 30 28 28 28 22
Exceeded High   21 27 24 17 21 20 25 25 24 22 17
Scenario Percentage   91% 96% 75% 85% 91% 74% 83% 89% 86% 79% 77%
Avg Max Increase   4.33% 3.67% 3.08% 3.20% 3.71% 4.00% 4.60% 4.43% 5.87% 5.65% 4.29%
Max Increase   11.22% 7.68% 5.32% 10.36% 8.55% 12.19% 10.33% 12.43% 17.14% 17.78% 15.80%
Avg Days To Max Increase   21 21 16 17 17 20 17 19 18 13 13
Avg Max Decline   -1.38% -0.96% -1.16% -1.42% -1.86% -1.25% -2.05% -1.62% -1.37% -1.47% -0.90%
Max Decline   -3.66% -3.40% -5.06% -3.51% -8.66% -3.61% -6.20% -4.00% -3.42% -4.16% -2.30%
Avg Days to Max Decline   10 7 9 18 12 10 11 14 10 8 2
2024 Contract Condition   Yes Yes Yes Yes Yes       Yes Yes  
Action   Yes Yes Yes Yes No       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 17 12 25 21 18 14 17 17 17 23
Penetrated Low   12 12 10 18 15 12 9 8 14 12 17
Scenario Percentage   55% 71% 83% 72% 71% 67% 64% 47% 82% 71% 74%
Avg Max Decline   4.72% 4.23% 5.34% 4.78% 4.40% 4.60% 6.11% 7.05% 7.40% 9.23% 5.50%
Max Decline   12.45% 8.71% 10.48% 17.53% 15.87% 13.03% 14.29% 10.53% 23.90% 24.29% 20.01%
Avg Days To Max Decline   18 22 12 14 18 12 10 20 16 16 15
Avg Max Increase   -1.22% -1.46% -1.71% -1.24% -2.23% -1.48% -0.49% -2.02% -2.12% -1.86% -1.03%
Max Increase   -4.45% -4.22% -4.31% -4.40% -8.96% -3.35% -1.60% -4.32% -5.34% -4.89% -3.10%
Avg Days to Max Increase   8 13 4 9 13 9 1 14 8 9 5
2024 Contract Condition             Yes Yes Yes     Yes
Action             Yes Yes No     Yes
High 179.050 182.880 188.430 193.330 193.900 199.830 197.830 189.030 174.900 183.450 189.200 190.280
Low 175.000 174.950 182.280 186.580 188.850 191.530 182.080 170.500 165.400 172.280 180.800 181.780
Close/Last 178.700 182.530 188.380 189.730 192.680 195.500 186.680 174.430 172.250 180.700 185.350 185.000

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