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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   23 26 24 22 20 24 26 19 25 27 28
Exceeded High   20 21 21 16 16 23 20 18 23 19 19
Scenario Percentage   87% 81% 88% 73% 80% 96% 77% 95% 92% 70% 68%
Avg Max Increase   3.78% 4.32% 4.48% 5.06% 4.77% 4.93% 4.38% 5.38% 5.38% 5.90% 3.38%
Max Increase   12.47% 15.57% 21.08% 13.31% 9.93% 12.35% 10.78% 17.67% 16.89% 19.71% 11.69%
Avg Days To Max Increase   17 18 14 17 20 21 18 18 19 16 18
Avg Max Decline   -1.14% -1.15% -1.14% -1.61% -1.64% -1.64% -2.13% -1.70% -1.59% -1.21% -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 7 8 11 8 7 9 9 6 6
2019 Contract Condition     Yes Yes     Yes Yes   Yes Yes Yes
Action     Yes Yes     Yes No   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   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   15 18 21 23 25 21 19 25 20 18 17
Penetrated Low   9 10 15 16 16 18 15 17 19 12 12
Scenario Percentage   60% 56% 71% 70% 64% 86% 79% 68% 95% 67% 71%
Avg Max Decline   5.82% 5.86% 4.90% 4.13% 5.46% 5.54% 6.64% 6.31% 5.18% 5.54% 4.86%
Max Decline   11.87% 11.58% 9.07% 8.73% 13.42% 14.82% 13.62% 18.35% 17.43% 13.03% 10.05%
Avg Days To Max Decline   23 18 14 16 18 18 17 9 14 11 14
Avg Max Increase   -1.09% -0.55% -0.82% -1.34% -1.42% -2.35% -2.08% -1.22% -2.58% -2.26% -0.79%
Max Increase   -3.55% -1.39% -2.08% -5.95% -4.19% -5.92% -4.54% -3.45% -10.54% -7.24% -1.83%
Avg Days to Max Increase   7 9 4 9 7 15 7 6 10 8 3
2019 Contract Condition   Yes     Yes Yes     Yes      
Action   No     Yes Yes     Yes      
High 117.480 118.730 119.480 124.000 124.180 116.480 112.980 114.930 113.850 110.750 118.600 122.085
Low 114.350 116.400 116.400 117.885 115.930 107.800 107.650 110.030 103.085 98.200 109.200 117.135
Close/Last 117.450 116.585 119.335 120.300 116.030 108.480 110.250 112.230 103.680 110.300 117.230 121.200

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