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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 May 10, 2021
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   44 44 44 44 45 45 45 45 45 45 45
Closed Higher   30 31 28 28 24 24 19 22 28 17 27
Exceeded High   27 26 25 22 20 16 15 21 24 16 22
Scenario Percentage   90% 84% 89% 79% 83% 67% 79% 95% 86% 94% 81%
Avg Max Increase   3.51% 3.76% 4.06% 5.13% 5.50% 4.99% 5.71% 5.45% 4.78% 6.50% 4.64%
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 16 14 17 17 16 13 17
Avg Max Decline   -1.35% -0.68% -1.11% -1.15% -1.36% -1.07% -2.03% -1.85% -2.16% -1.59% -0.70%
Max Decline   -3.97% -1.65% -3.37% -5.63% -5.37% -3.85% -4.81% -4.99% -8.40% -6.73% -3.21%
Avg Days to Max Decline   9 10 8 8 8 8 10 9 7 12 4
2020 Contract Condition   Yes Yes         Yes   Yes   Yes
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   44 44 44 44 45 45 45 45 45 45 45
Closed Lower   14 13 16 16 21 21 26 23 16 28 18
Penetrated Low   11 4 12 11 17 14 19 16 14 20 14
Scenario Percentage   79% 31% 75% 69% 81% 67% 73% 70% 88% 71% 78%
Avg Max Decline   4.33% 6.03% 6.78% 7.53% 5.44% 5.06% 5.23% 6.72% 7.02% 6.43% 3.85%
Max Decline   12.82% 8.28% 21.12% 21.06% 12.44% 10.46% 14.26% 15.45% 14.56% 16.39% 12.03%
Avg Days To Max Decline   17 17 20 16 16 18 21 21 18 10 11
Avg Max Increase   -0.98% -1.48% -1.33% -0.71% -1.13% -1.54% -1.69% -2.68% -2.63% -1.83% -1.15%
Max Increase   -3.67% -2.12% -3.63% -2.81% -4.38% -6.72% -3.98% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   6 13 7 6 6 8 9 15 10 7 2
2020 Contract Condition       Yes Yes Yes Yes   Yes   Yes  
Action       Yes Yes Yes No   No   Yes  
High 115.280 117.480 118.600 119.635 114.585 110.550 99.300 104.980 102.335 108.000 111.150 109.250
Low 110.085 113.700 115.250 111.930 106.700 89.000 84.885 95.230 96.550 99.530 104.530 103.385
Close/Last 114.930 116.730 118.530 112.835 107.530 96.950 96.335 101.430 99.730 107.885 105.300 108.550

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