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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Live Cattle(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   30 19 21 27 30 28 27 27 22 23 20
Exceeded High   21 15 19 21 25 27 22 22 18 16 12
Scenario Percentage   70% 79% 90% 78% 83% 96% 81% 81% 82% 70% 60%
Avg Max Increase   4.22% 3.17% 3.90% 3.74% 4.17% 3.93% 5.98% 6.77% 9.22% 7.38% 5.60%
Max Increase   11.99% 8.55% 7.95% 10.56% 10.77% 10.94% 17.54% 18.85% 23.53% 21.24% 11.83%
Avg Days To Max Increase   16 14 18 19 19 17 19 18 15 12 15
Avg Max Decline   -1.46% -1.41% -1.57% -1.20% -1.84% -1.15% -1.50% -1.46% -1.72% -1.56% -1.20%
Max Decline   -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.69% -6.83% -3.65%
Avg Days to Max Decline   7 14 10 11 12 9 8 6 8 7 3
2018 Contract Condition   Yes   Yes Yes     Yes Yes   Yes  
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   14 25 24 17 15 17 18 18 23 22 25
Penetrated Low   13 17 18 12 12 9 14 13 20 15 17
Scenario Percentage   93% 68% 75% 71% 80% 53% 78% 72% 87% 68% 68%
Avg Max Decline   6.09% 6.04% 4.22% 5.66% 6.52% 6.49% 5.45% 8.33% 7.19% 6.91% 4.64%
Max Decline   12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 11.72%
Avg Days To Max Decline   16 15 15 12 15 19 21 21 18 13 13
Avg Max Increase   -1.39% -0.72% -1.60% -1.34% -0.97% -2.13% -2.20% -0.79% -1.63% -1.76% -0.69%
Max Increase   -4.24% -1.67% -8.42% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -8.48% -2.56%
Avg Days to Max Increase   5 8 6 7 5 10 8 5 6 7 4
2018 Contract Condition     Yes     Yes Yes     Yes   Yes
Action     No     Yes Yes     Yes   Not Yet
High 113.300 112.730 111.650 115.050 119.150 121.530 118.500 117.280 118.900 116.480 107.835 108.100
Low 104.000 106.135 104.600 107.250 111.700 115.930 110.850 110.280 114.430 102.585 97.085 101.385
Close/Last 108.280 108.850 107.530 113.050 118.835 118.550 113.650 115.085 115.600 102.585 106.100 105.050

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