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