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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, 2019
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 20 24 26 19 25 26 27
Exceeded High   20 20 20 16 16 23 20 18 23 18 18
Scenario Percentage   87% 80% 87% 73% 80% 96% 77% 95% 92% 69% 67%
Avg Max Increase   3.78% 4.33% 4.54% 5.06% 4.77% 5.61% 4.38% 5.38% 5.07% 5.90% 3.44%
Max Increase   12.47% 15.57% 21.08% 13.31% 9.93% 19.90% 10.78% 17.67% 16.89% 19.71% 11.69%
Avg Days To Max Increase   17 18 14 17 20 21 18 18 17 15 17
Avg Max Decline   -1.14% -1.14% -1.16% -1.61% -1.64% -1.63% -2.13% -1.70% -1.61% -1.27% -1.67%
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
2018 Contract Condition   Yes Yes   Yes   Yes     Yes    
Action   Yes No   No   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 25 21 19 25 20 19 18
Penetrated Low   9 11 16 16 16 18 15 17 19 13 12
Scenario Percentage   64% 58% 73% 70% 64% 86% 79% 68% 95% 68% 67%
Avg Max Decline   5.82% 6.64% 6.28% 5.10% 5.64% 5.54% 6.64% 6.35% 5.18% 6.06% 4.86%
Max Decline   11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 18.35% 17.43% 13.03% 10.05%
Avg Days To Max Decline   23 19 15 17 18 18 17 9 14 11 14
Avg Max Increase   -1.09% -0.58% -0.78% -1.30% -1.72% -2.35% -2.08% -1.09% -2.58% -2.03% -0.79%
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 8 3
2018 Contract Condition       Yes   Yes   Yes     Yes Yes
Action       Yes   No   No     Yes Not Yet
High 115.930 117.180 118.980 118.700 114.385 113.400 113.930 115.885 115.750 119.085 119.750 117.850
Low 110.600 111.350 115.230 109.950 106.950 107.150 108.100 109.800 110.900 112.500 116.030 113.550
Close/Last 113.885 115.600 117.850 110.030 111.835 111.780 113.700 112.980 112.980 118.850 116.950 116.930

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