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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 Oct 29, 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
2021 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes   Yes  
Action   Yes Yes Yes   Yes Yes Yes No   Not Yet  
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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
2021 Contract Condition         Yes         Yes    
Action         Yes         Yes    
High 120.300 124.780 124.750 128.100 129.750 130.350 133.450 134.575 138.235 134.135 131.930  
Low 115.930 118.300 121.635 122.530 124.550 124.700 124.350 129.900 131.500 125.130 125.000  
Close/Last 120.050 121.930 123.335 128.030 126.250 128.050 132.100 132.650 133.485 125.730 129.280  

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