MRCI's ScenarioSM Study

ScenarioSM Study for August 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	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		22	25	28	30	22	24	21	24	19	21	25
Exceeded High		20	20	27	28	19	20	18	18	15	20	19
Scenario Percentage		91%	80%	96%	93%	86%	83%	86%	75%	79%	95%	76%
Avg Max Increase		3.37%	3.66%	3.47%	3.50%	4.09%	6.00%	7.64%	5.47%	6.55%	5.94%	4.22%
Max Increase		6.97%	8.71%	9.85%	10.85%	14.13%	17.33%	22.50%	14.38%	15.62%	21.50%	8.15%
Avg Days To Max Increase		18	15	16	16	18	19	18	14	20	16	15
Avg Max Decline		-1.42%	-0.83%	-1.49%	-1.00%	-1.27%	-1.51%	-1.45%	-1.72%	-2.27%	-2.17%	-1.04%
Max Decline		-6.31%	-3.36%	-4.06%	-4.32%	-3.95%	-6.96%	-3.71%	-6.15%	-6.04%	-5.02%	-3.43%
Avg Days to Max Decline		9	8	7	9	9	8	7	9	14	12	3
2020 Contract Condition		Yes	Yes	Yes	Yes					Yes		Yes
Action		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		19	19	16	13	22	20	23	21	25	24	19
Penetrated Low		16	13	12	7	17	14	20	14	18	19	10
Scenario Percentage		84%	68%	75%	54%	77%	70%	87%	67%	72%	79%	53%
Avg Max Decline		4.39%	4.73%	4.69%	4.71%	6.09%	7.92%	6.05%	5.85%	5.73%	6.23%	3.55%
Max Decline		17.36%	16.33%	13.71%	9.56%	22.86%	21.29%	14.00%	11.52%	19.32%	16.00%	7.32%
Avg Days To Max Decline		14	14	17	19	20	20	17	17	19	13	11
Avg Max Increase		-1.35%	-0.62%	-0.88%	-1.95%	-1.25%	-0.92%	-1.40%	-1.67%	-1.58%	-1.65%	-1.42%
Max Increase		-8.77%	-1.32%	-2.87%	-3.40%	-3.97%	-3.62%	-5.21%	-7.34%	-3.97%	-4.35%	-7.13%
Avg Days to Max Increase		5	4	6	11	7	6	9	8	6	7	3
2020 Contract Condition						Yes	Yes	Yes	Yes		Yes
Action						Yes	Yes	Yes	No		No
High	110.180	109.680	114.400	116.680	116.750	117.550	111.335	105.980	93.680	101.900	99.980	103.885
Low	101.450	101.100	108.700	112.480	113.850	109.100	101.480	84.680	80.500	91.200	93.585	96.200
Close/Last	102.480	109.600	113.885	115.350	116.480	109.780	102.280	93.600	92.100	99.600	96.280	102.835