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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 Jun 08, 2020
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 28 28 25 25 19 23 27 18 27
Exceeded High   26 25 25 22 21 17 15 22 23 17 21
Scenario Percentage   90% 83% 89% 79% 84% 68% 79% 96% 85% 94% 78%
Avg Max Increase   3.55% 3.87% 4.06% 5.13% 5.58% 5.46% 5.92% 5.60% 4.86% 6.73% 5.09%
Max Increase   9.11% 9.77% 11.76% 15.73% 20.35% 13.11% 12.73% 17.31% 13.64% 25.05% 18.26%
Avg Days To Max Increase   20 18 17 18 17 14 17 18 16 14 18
Avg Max Decline   -1.35% -0.66% -1.11% -1.15% -1.52% -1.43% -1.82% -2.23% -2.19% -1.53% -0.71%
Max Decline   -3.97% -1.65% -3.37% -5.63% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline   9 10 8 8 8 8 9 10 7 11 4
2019 Contract Condition     Yes   Yes Yes     Yes Yes   Yes
Action     Yes   Yes No     Yes No   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 16 16 20 20 26 22 17 27 18
Penetrated Low   11 5 12 11 16 14 19 16 15 19 14
Scenario Percentage   79% 36% 75% 69% 80% 70% 73% 73% 88% 70% 78%
Avg Max Decline   4.33% 7.52% 5.63% 6.00% 5.00% 5.06% 5.23% 6.72% 6.73% 6.65% 3.85%
Max Decline   12.82% 13.48% 12.91% 12.58% 10.76% 10.46% 14.26% 15.45% 14.56% 16.39% 12.03%
Avg Days To Max Decline   17 18 19 16 17 18 21 21 17 10 11
Avg Max Increase   -0.98% -1.72% -1.38% -0.39% -1.34% -1.54% -1.69% -2.68% -2.63% -1.67% -1.15%
Max Increase   -3.67% -2.70% -3.63% -1.34% -4.38% -6.72% -3.98% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   6 12 6 6 7 8 9 15 9 6 2
2019 Contract Condition   Yes   Yes     Yes Yes     Yes  
Action   Yes   No     Yes No     Yes  
High 116.135 115.585 115.650 116.635 117.085 121.600 120.450 112.550 108.085 110.600 109.730 105.250
Low 113.550 112.385 112.335 114.100 114.150 115.050 112.230 103.180 103.280 105.050 97.780 93.400
Close/Last 114.835 113.085 115.635 114.230 116.680 116.835 112.335 103.900 105.430 107.650 98.930 104.585

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