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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Live Cattle(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Higher   21 23 28 30 23 23 22 25 20 22 24
Exceeded High   19 18 27 28 19 20 19 19 16 20 19
Scenario Percentage   90% 78% 96% 93% 83% 87% 86% 76% 80% 91% 79%
Avg Max Increase   2.99% 3.83% 4.11% 4.14% 4.34% 6.02% 8.05% 6.53% 7.66% 7.68% 4.43%
Max Increase   6.97% 8.71% 19.17% 12.63% 14.13% 17.33% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase   19 16 17 16 18 19 19 14 20 16 15
Avg Max Decline   -1.64% -0.83% -1.45% -0.90% -1.39% -1.53% -1.58% -1.67% -2.02% -1.94% -1.10%
Max Decline   -6.31% -3.36% -4.06% -4.32% -3.95% -6.96% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline   11 7 7 8 9 7 7 8 13 11 3
2017 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes    
Action     Yes Yes Yes   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Lower   20 20 16 13 21 21 22 20 24 23 20
Penetrated Low   16 13 12 8 17 15 19 14 18 19 10
Scenario Percentage   80% 65% 75% 62% 81% 71% 86% 70% 75% 83% 50%
Avg Max Decline   4.39% 5.14% 5.86% 5.97% 5.12% 7.03% 6.32% 7.14% 6.31% 6.23% 3.55%
Max Decline   17.36% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 7.32%
Avg Days To Max Decline   14 14 17 19 19 21 18 16 18 13 11
Avg Max Increase   -1.35% -0.73% -1.11% -1.86% -1.36% -0.64% -1.40% -1.70% -1.42% -1.65% -1.42%
Max Increase   -8.77% -2.07% -3.29% -3.40% -3.97% -2.00% -5.21% -7.34% -3.58% -4.35% -7.13%
Avg Days to Max Increase   5 4 7 11 7 6 9 8 5 7 3
2017 Contract Condition   Yes       Yes         Yes Yes
Action   Yes       Yes         Yes Yes
High 106.135 100.230 95.700 99.350 101.300 105.000 102.980 109.550 120.180 127.500 127.650 118.680
Low 98.400 92.650 89.885 92.680 96.900 99.500 99.400 101.250 104.980 116.780 113.400 111.780
Close/Last 100.350 93.000 93.180 99.350 100.730 99.980 102.430 106.750 120.050 121.700 116.300 112.000

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