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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Feeder 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   30 40 45 45 45 45 45 45 45 45 45
Closed Higher   20 25 26 19 23 26 26 32 22 25 20
Exceeded High   20 22 18 18 18 22 26 27 18 20 8
Scenario Percentage   100% 88% 69% 95% 78% 85% 100% 84% 82% 80% 40%
Avg Max Increase   4.74% 4.37% 6.86% 5.95% 5.66% 5.38% 5.55% 4.51% 4.44% 3.14% 1.86%
Max Increase   14.30% 16.22% 23.60% 23.93% 16.07% 13.13% 10.86% 10.24% 16.13% 10.84% 4.51%
Avg Days To Max Increase   17 16 18 15 20 20 18 16 9 10 7
Avg Max Decline   -0.72% -0.73% -1.01% -1.07% -1.29% -1.86% -1.27% -1.77% -1.34% -1.01% -0.75%
Max Decline   -3.05% -3.23% -5.05% -5.29% -4.77% -6.17% -3.99% -6.29% -7.19% -2.90% -1.65%
Avg Days to Max Decline   8 5 7 7 12 10 10 8 7 4 2
2023 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes    
Action   Yes Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   30 40 45 45 45 45 45 45 45 45 45
Closed Lower   10 15 19 25 21 19 19 13 23 20 23
Penetrated Low   5 11 15 19 13 12 12 9 13 18 11
Scenario Percentage   50% 73% 79% 76% 62% 63% 63% 69% 57% 90% 48%
Avg Max Decline   4.99% 6.90% 8.46% 5.58% 5.01% 5.68% 6.77% 6.36% 5.98% 4.45% 2.81%
Max Decline   11.89% 21.06% 22.26% 12.41% 12.94% 12.57% 12.22% 15.89% 14.98% 12.76% 6.99%
Avg Days To Max Decline   11 16 18 16 17 19 17 15 10 12 8
Avg Max Increase   -1.05% -1.23% -1.15% -1.02% -1.35% -1.53% -1.78% -3.02% -1.43% -1.90% -0.60%
Max Increase   -1.89% -5.12% -5.50% -6.67% -6.89% -5.06% -4.87% -8.96% -3.74% -7.18% -2.00%
Avg Days to Max Increase   6 6 7 8 4 4 10 10 6 6 2
2023 Contract Condition                 Yes   Yes  
Action                 No   Not Yet  
High 206.450 208.580 213.200 218.750 226.930 236.850 244.780 253.230 256.330 259.000 268.250  
Low 203.050 204.250 206.700 210.980 217.250 225.050 227.850 233.530 246.700 248.930 254.050  
Close/Last 204.880 208.250 213.130 218.680 226.200 236.080 244.180 252.650 251.480 257.650 254.900  

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