MRCI's ScenarioSM Study

ScenarioSM Study for June Live Cattle(CME) as of Nov 09, 2020
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	28	31	29	26	28	21	22	20
Exceeded High		21	15	20	22	26	28	22	23	17	15	11
Scenario Percentage		70%	79%	91%	79%	84%	97%	85%	82%	81%	68%	55%
Avg Max Increase		3.92%	3.17%	3.99%	3.70%	4.08%	3.60%	5.98%	6.64%	8.49%	6.46%	5.21%
Max Increase		11.99%	8.55%	7.95%	10.56%	10.77%	10.94%	17.54%	18.85%	23.53%	16.16%	11.83%
Avg Days To Max Increase		17	14	18	19	19	17	19	18	15	12	15
Avg Max Decline		-1.53%	-1.41%	-1.48%	-1.20%	-1.83%	-1.20%	-1.50%	-1.48%	-1.58%	-1.56%	-1.17%
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	9	7	3
2020 Contract Condition		Yes		Yes	Yes	Yes	Yes					Yes
Action		No		Yes	Yes	Yes	Yes					Not Yet

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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	16	14	16	19	17	24	23	25
Penetrated Low		13	16	18	11	10	8	14	12	21	15	17
Scenario Percentage		93%	64%	78%	69%	71%	50%	74%	71%	88%	65%	68%
Avg Max Decline		6.09%	5.05%	4.22%	5.20%	5.70%	5.50%	6.77%	9.72%	7.29%	5.86%	4.13%
Max Decline		12.09%	18.54%	16.12%	16.03%	13.51%	10.52%	23.60%	24.31%	16.82%	12.62%	11.72%
Avg Days To Max Decline		16	14	15	13	16	18	21	20	17	14	14
Avg Max Increase		-1.39%	-0.82%	-1.60%	-0.77%	-0.85%	-2.24%	-1.99%	-1.13%	-1.38%	-1.78%	-0.80%
Max Increase		-4.24%	-1.67%	-8.42%	-1.96%	-2.77%	-3.41%	-4.60%	-4.67%	-5.92%	-8.48%	-2.56%
Avg Days to Max Increase		5	9	6	5	5	10	8	5	6	7	4
2020 Contract Condition			Yes					Yes	Yes	Yes	Yes
Action			Yes					Yes	Yes	Yes	No
High	112.000	113.400	112.230	111.530	116.930	119.100	119.750	119.900	112.900	105.930	90.585	101.600
Low	107.300	109.400	103.385	102.980	110.500	114.800	116.050	111.230	100.930	85.250	76.600	85.730
Close/Last	109.100	111.430	104.400	111.430	116.300	117.730	118.900	111.585	101.200	92.085	85.950	99.730