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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 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 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 22 27 30 28 26 28 22 23 20
Exceeded High   21 15 20 21 25 27 22 23 18 16 12
Scenario Percentage   70% 79% 91% 78% 83% 96% 85% 82% 82% 70% 60%
Avg Max Increase   3.92% 3.17% 3.74% 3.74% 4.17% 3.70% 5.98% 6.64% 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   17 14 17 19 19 17 19 18 15 12 15
Avg Max Decline   -1.53% -1.41% -1.50% -1.20% -1.84% -1.20% -1.50% -1.48% -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   8 14 10 11 12 9 8 6 8 7 3
2019 Contract Condition   Yes   Yes     Yes   Yes      
Action   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 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 23 17 15 17 19 17 23 22 25
Penetrated Low   13 16 18 12 11 9 14 12 20 15 16
Scenario Percentage   93% 64% 78% 71% 73% 53% 74% 71% 87% 68% 64%
Avg Max Decline   6.09% 5.28% 4.22% 5.41% 6.73% 6.49% 5.45% 8.08% 6.81% 5.83% 4.22%
Max Decline   12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.92% 14.79% 16.12% 12.62% 11.72%
Avg Days To Max Decline   16 14 15 13 16 19 21 20 18 13 13
Avg Max Increase   -1.39% -0.74% -1.60% -0.91% -1.06% -2.13% -2.20% -0.72% -1.53% -1.78% -0.82%
Max Increase   -4.24% -1.67% -8.42% -2.42% -3.17% -3.41% -4.60% -1.99% -5.92% -8.48% -2.56%
Avg Days to Max Increase   5 9 6 5 5 10 8 5 6 7 3
2019 Contract Condition     Yes   Yes Yes   Yes   Yes Yes Yes
Action     No   Yes No   No   Yes Yes Yes
High 111.200 113.885 113.980 116.850 117.500 116.350 117.250 118.600 120.385 124.900 122.980 114.885
Low 106.600 108.900 108.980 110.835 114.030 111.635 112.780 115.100 115.835 117.930 114.100 107.650
Close/Last 110.150 111.700 111.400 116.680 115.500 113.650 117.085 115.950 120.150 119.000 114.250 108.480

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