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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Live Cattle(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   23 25 23 22 21 24 27 19 24 26 27
Exceeded High   20 21 20 17 17 23 21 18 22 18 17
Scenario Percentage   87% 84% 87% 77% 81% 96% 78% 95% 92% 69% 63%
Avg Max Increase   3.90% 4.31% 4.54% 5.38% 5.90% 6.73% 4.49% 5.38% 5.27% 5.43% 2.96%
Max Increase   12.47% 15.57% 21.08% 13.31% 23.89% 27.74% 10.78% 17.67% 16.89% 12.59% 8.00%
Avg Days To Max Increase   17 17 14 17 20 21 18 18 18 15 16
Avg Max Decline   -1.25% -1.13% -1.16% -1.59% -1.64% -1.46% -2.13% -1.70% -1.66% -1.27% -1.53%
Max Decline   -3.07% -4.31% -5.65% -7.18% -3.67% -6.93% -9.56% -7.78% -5.36% -2.96% -6.01%
Avg Days to Max Decline   9 9 8 8 11 8 7 9 9 6 6
2017 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   14 19 22 23 24 21 18 26 21 19 18
Penetrated Low   9 11 15 16 16 18 15 18 19 13 13
Scenario Percentage   64% 58% 68% 70% 67% 86% 83% 69% 90% 68% 72%
Avg Max Decline   5.82% 6.64% 6.51% 5.10% 5.64% 5.54% 6.64% 7.28% 5.18% 7.00% 5.11%
Max Decline   11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 17.43% 15.03% 10.05%
Avg Days To Max Decline   23 19 16 17 18 18 17 10 14 11 14
Avg Max Increase   -1.09% -0.58% -0.74% -1.30% -1.72% -2.35% -2.08% -1.07% -2.58% -2.19% -0.59%
Max Increase   -3.55% -1.39% -2.08% -5.95% -5.68% -5.92% -4.54% -3.45% -10.54% -7.24% -1.83%
Avg Days to Max Increase   7 9 5 9 7 15 7 6 10 9 3
2017 Contract Condition   Yes       Yes Yes Yes Yes     Yes
Action   No       Yes Yes Yes No     Yes
High 100.900 104.885 103.980 109.900 119.385 121.850 122.850 119.850 116.450 117.730 125.900 127.880
Low 97.300 99.780 99.980 102.350 105.800 114.050 111.980 112.180 106.730 108.885 112.900 116.780
Close/Last 100.600 100.480 103.300 107.350 119.250 118.900 115.800 113.150 109.100 115.250 125.630 119.900

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