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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 44 45 45 45 45 45 45 45 45 45
Closed Higher   23 26 23 21 20 23 27 18 25 27 28
Exceeded High   20 21 20 15 16 22 21 17 23 19 20
Scenario Percentage   87% 81% 87% 71% 80% 96% 78% 94% 92% 70% 71%
Avg Max Increase   3.78% 4.32% 4.50% 4.74% 4.72% 4.59% 4.28% 5.05% 5.38% 5.90% 3.37%
Max Increase   12.47% 15.57% 21.08% 13.31% 9.93% 10.40% 10.78% 17.67% 16.89% 19.71% 11.69%
Avg Days To Max Increase   17 18 14 17 20 21 18 17 19 16 19
Avg Max Decline   -1.14% -1.15% -0.91% -1.24% -1.77% -1.40% -2.10% -1.72% -1.59% -1.21% -1.72%
Max Decline   -3.07% -4.31% -2.77% -4.36% -3.82% -4.19% -9.56% -7.78% -5.36% -2.96% -6.01%
Avg Days to Max Decline   9 9 6 8 12 8 7 10 9 6 6
2020 Contract Condition           Yes   Yes   Yes   Yes
Action           Yes   Yes   No   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   41 44 45 45 45 45 45 45 45 45 45
Closed Lower   16 18 22 24 25 22 18 26 20 18 17
Penetrated Low   10 10 16 16 16 18 15 18 19 12 12
Scenario Percentage   63% 56% 73% 67% 64% 82% 83% 69% 95% 67% 71%
Avg Max Decline   7.26% 7.49% 5.28% 4.13% 5.46% 5.54% 6.64% 6.29% 5.18% 5.54% 4.86%
Max Decline   20.20% 20.51% 11.09% 8.73% 13.42% 14.82% 13.62% 18.35% 17.43% 13.03% 10.05%
Avg Days To Max Decline   22 18 14 16 18 18 17 10 14 11 14
Avg Max Increase   -1.14% -0.82% -0.64% -1.34% -1.42% -2.35% -2.08% -1.39% -2.58% -2.26% -0.79%
Max Increase   -3.55% -2.42% -2.08% -5.95% -4.19% -5.92% -4.54% -4.23% -10.54% -7.24% -1.83%
Avg Days to Max Increase   7 9 4 9 7 15 7 8 10 8 3
2020 Contract Condition   Yes Yes Yes Yes   Yes   Yes   Yes  
Action   Yes Yes Yes No   No   Yes   No  
High 120.885 122.300 118.930 115.000 103.250 108.700 105.885 111.650 114.030 113.585 113.300 112.700
Low 117.550 116.030 111.335 93.385 89.250 99.650 100.700 103.335 108.050 107.250 102.530 106.600
Close/Last 120.835 117.030 112.280 100.385 100.250 104.700 103.650 111.550 108.980 112.350 108.300 110.180

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