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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Live Cattle(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Higher   29 30 29 27 24 25 19 23 27 18 26
Exceeded High   26 25 26 21 21 17 15 22 24 17 20
Scenario Percentage   90% 83% 90% 78% 88% 68% 79% 96% 89% 94% 77%
Avg Max Increase   3.55% 4.18% 4.00% 5.17% 5.58% 5.46% 5.92% 6.32% 4.69% 6.73% 4.87%
Max Increase   9.11% 9.77% 11.76% 15.73% 20.35% 13.11% 12.73% 20.78% 13.64% 25.05% 18.26%
Avg Days To Max Increase   20 18 17 18 17 14 17 17 15 14 18
Avg Max Decline   -1.35% -0.60% -1.23% -1.14% -1.52% -1.43% -1.82% -2.22% -2.26% -1.53% -0.73%
Max Decline   -3.97% -1.65% -4.11% -5.63% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline   9 10 8 7 8 8 9 10 7 11 4
2018 Contract Condition       Yes Yes   Yes   Yes     Yes
Action       Yes No   No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Lower   14 14 15 17 21 20 26 22 17 27 19
Penetrated Low   11 5 12 12 17 14 20 16 15 19 14
Scenario Percentage   79% 36% 80% 71% 81% 70% 77% 73% 88% 70% 74%
Avg Max Decline   4.56% 7.52% 5.63% 6.73% 6.22% 6.11% 5.21% 6.72% 6.73% 6.83% 3.85%
Max Decline   12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 14.56% 16.39% 12.03%
Avg Days To Max Decline   17 18 19 18 17 17 20 21 17 10 11
Avg Max Increase   -0.92% -1.72% -1.38% -0.34% -1.34% -1.53% -1.86% -2.68% -2.63% -1.75% -1.15%
Max Increase   -3.67% -2.70% -3.63% -1.34% -4.38% -6.72% -5.22% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   6 12 6 6 7 8 9 15 9 6 2
2018 Contract Condition   Yes Yes     Yes   Yes   Yes Yes  
Action   Yes No     Yes   No   No No  
High 116.250 117.600 114.885 115.085 117.250 116.480 110.050 109.450 110.030 112.250 112.150 113.980
Low 110.385 112.280 108.385 109.400 113.350 105.300 102.430 101.500 103.500 105.480 106.200 108.180
Close/Last 116.085 114.900 111.530 113.700 115.585 105.430 107.450 107.050 110.030 109.300 108.780 113.450

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