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