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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Feeder 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   19 39 42 45 45 45 45 45 45 45 45
Closed Higher   9 25 26 27 21 27 27 24 28 24 24
Exceeded High   9 24 24 18 20 20 20 23 23 20 16
Scenario Percentage   100% 96% 92% 67% 95% 74% 74% 96% 82% 83% 67%
Avg Max Increase   5.11% 4.37% 4.26% 7.17% 6.20% 6.15% 6.13% 5.73% 4.21% 4.62% 3.05%
Max Increase   10.29% 13.53% 15.47% 23.85% 24.60% 17.00% 13.06% 10.74% 10.60% 17.30% 10.87%
Avg Days To Max Increase   19 15 15 19 17 20 22 18 16 11 10
Avg Max Decline   -0.95% -0.73% -1.00% -1.20% -1.31% -1.34% -1.88% -1.45% -2.51% -1.43% -0.60%
Max Decline   -2.63% -5.45% -3.21% -5.02% -5.26% -5.91% -7.28% -4.59% -10.67% -7.38% -2.04%
Avg Days to Max Decline   6 8 7 5 6 10 10 10 8 3 2
2019 Contract Condition     Yes   Yes Yes     Yes Yes   Yes
Action     Yes   Yes Yes     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   19 39 42 45 45 45 45 45 45 45 45
Closed Lower   10 14 16 18 24 18 18 20 17 21 20
Penetrated Low   7 7 11 14 18 11 13 15 13 11 15
Scenario Percentage   70% 50% 69% 78% 75% 61% 72% 75% 76% 52% 75%
Avg Max Decline   5.55% 6.24% 6.94% 6.08% 5.62% 5.59% 5.96% 6.84% 6.37% 6.04% 3.47%
Max Decline   11.36% 11.16% 16.84% 14.96% 11.43% 12.96% 13.63% 12.55% 16.91% 16.33% 8.22%
Avg Days To Max Decline   14 22 19 19 17 15 17 17 18 9 11
Avg Max Increase   -0.22% -1.29% -1.09% -0.96% -1.43% -1.35% -1.57% -1.89% -3.26% -1.31% -1.34%
Max Increase   -1.36% -2.37% -5.30% -5.10% -6.89% -6.70% -5.55% -4.95% -7.79% -4.23% -4.45%
Avg Days to Max Increase   3 7 6 5 8 5 5 9 8 4 2
2019 Contract Condition   Yes   Yes     Yes Yes     Yes  
Action   Yes   No     Yes Yes     No  
High 152.000 152.250 150.650 150.900 152.400 160.000 162.950 152.735 141.030 144.430 143.250 144.735
Low 150.250 146.050 145.485 148.030 148.900 151.280 151.400 133.635 131.950 136.930 127.335 127.950
Close/Last 151.750 147.530 150.650 149.385 152.235 158.250 151.600 134.530 136.700 142.550 130.800 142.400

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