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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 Sep 29, 2023
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 28 23 19 20 25 29 20 24 27 28
Exceeded High   22 23 20 14 16 24 23 18 22 20 18
Scenario Percentage   88% 82% 87% 74% 80% 96% 79% 90% 92% 74% 64%
Avg Max Increase   3.79% 4.31% 4.23% 4.77% 4.86% 4.60% 4.21% 4.99% 5.41% 5.36% 2.95%
Max Increase   12.47% 15.57% 21.09% 13.31% 9.93% 10.40% 10.79% 17.67% 16.89% 12.60% 8.01%
Avg Days To Max Increase   17 17 14 17 21 21 18 18 18 17 19
Avg Max Decline   -1.05% -1.14% -1.05% -1.04% -1.78% -1.38% -1.96% -1.73% -1.59% -1.13% -1.61%
Max Decline   -3.06% -4.31% -2.77% -4.36% -3.82% -4.19% -9.55% -7.78% -5.36% -2.95% -6.00%
Avg Days to Max Decline   9 8 7 8 12 8 7 11 8 5 6
2023 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes    
Action   Yes Yes Yes Yes Yes Yes   Yes 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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 17 22 26 25 20 16 24 21 18 17
Penetrated Low   10 10 16 18 15 16 13 17 19 12 12
Scenario Percentage   67% 59% 73% 69% 60% 80% 81% 71% 90% 67% 71%
Avg Max Decline   7.26% 7.49% 5.28% 3.99% 5.08% 5.30% 6.27% 5.87% 5.16% 5.54% 4.86%
Max Decline   20.21% 20.51% 11.09% 8.73% 13.42% 14.81% 11.97% 18.36% 17.44% 13.03% 10.05%
Avg Days To Max Decline   22 18 14 16 17 19 16 11 14 11 14
Avg Max Increase   -1.14% -0.82% -0.64% -1.48% -1.49% -2.28% -2.03% -1.45% -2.56% -2.26% -0.79%
Max Increase   -3.55% -2.42% -2.09% -5.95% -4.19% -5.92% -4.40% -4.22% -10.54% -7.25% -1.83%
Avg Days to Max Increase   7 9 4 8 7 16 7 8 10 8 3
2023 Contract Condition               Yes        
Action               No        
High 165.230 167.050 168.150 170.350 172.900 175.550 183.600 189.250 187.700 192.050    
Low 162.150 164.030 165.950 164.830 169.080 168.030 175.050 180.350 181.930 183.500    
Close/Last 164.930 166.600 167.950 170.280 171.780 175.450 183.530 183.400 184.800 187.930    

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