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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 Jun 30, 2022
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   31 19 23 28 32 30 27 28 20 20 20
Exceeded High   22 15 21 23 27 30 23 23 16 15 11
Scenario Percentage   71% 79% 91% 82% 84% 100% 85% 82% 80% 75% 55%
Avg Max Increase   3.39% 3.17% 3.88% 3.79% 4.19% 3.68% 5.93% 6.09% 7.61% 6.46% 5.21%
Max Increase   8.07% 8.55% 7.95% 10.56% 10.77% 10.94% 17.54% 16.03% 23.53% 16.16% 11.83%
Avg Days To Max Increase   17 14 18 20 20 16 20 17 13 12 15
Avg Max Decline   -1.47% -1.41% -1.76% -1.17% -1.79% -1.31% -1.48% -1.38% -1.52% -1.56% -1.17%
Max Decline   -7.20% -3.06% -7.27% -3.45% -6.05% -3.35% -4.47% -4.17% -4.69% -6.83% -3.65%
Avg Days to Max Decline   10 14 11 11 12 9 9 6 9 7 3
2022 Contract Condition   Yes Yes   Yes Yes Yes          
Action   Yes No   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   13 25 22 16 13 15 18 17 25 25 25
Penetrated Low   12 16 16 11 9 7 14 13 22 17 16
Scenario Percentage   92% 64% 73% 69% 69% 47% 78% 76% 88% 68% 64%
Avg Max Decline   5.68% 4.73% 4.13% 5.20% 5.76% 5.40% 6.81% 9.34% 7.18% 5.53% 3.36%
Max Decline   12.09% 18.54% 16.12% 16.03% 13.51% 10.52% 23.60% 24.31% 16.82% 12.62% 7.02%
Avg Days To Max Decline   15 16 16 13 16 17 20 19 18 14 13
Avg Max Increase   -1.29% -0.94% -1.65% -0.77% -0.73% -2.07% -2.03% -1.10% -1.41% -1.88% -0.77%
Max Increase   -4.24% -3.16% -8.42% -1.96% -2.77% -2.85% -4.60% -4.67% -5.92% -8.48% -2.56%
Avg Days to Max Increase   3 10 7 5 4 11 9 4 6 7 4
2022 Contract Condition       Yes       Yes Yes Yes Yes Yes
Action       No       Yes Yes Yes Yes Not Yet
High 133.030 134.750 136.830 136.135 134.485 139.500 139.750 139.680 143.350 138.650 140.000 136.280
Low 124.150 130.950 133.075 127.880 128.350 131.600 135.400 134.530 136.430 130.985 132.485 130.235
Close/Last 132.485 133.530 135.450 128.500 132.180 136.250 139.200 139.080 137.700 137.135 132.650 130.530

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