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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Feeder Cattle(CME) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   16 32 37 40 41 41 43 43 43 43 43
Closed Higher   12 17 22 25 22 23 14 24 25 23 21
Exceeded High   9 14 21 18 16 18 9 21 23 19 12
Scenario Percentage   75% 82% 95% 72% 73% 78% 64% 88% 92% 83% 57%
Avg Max Increase   6.97% 5.17% 4.37% 4.16% 4.21% 5.09% 4.06% 5.95% 5.90% 6.31% 4.46%
Max Increase   15.13% 11.81% 9.73% 9.12% 11.69% 8.82% 5.76% 22.42% 15.82% 16.68% 10.89%
Avg Days To Max Increase   20 19 19 18 15 20 16 17 17 14 14
Avg Max Decline   -0.49% -2.16% -0.88% -1.78% -1.59% -1.87% -1.51% -1.62% -1.40% -1.84% -0.48%
Max Decline   -1.68% -10.19% -2.93% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -1.60%
Avg Days to Max Decline   5 11 9 8 10 10 7 9 6 7 2
2015 Contract Condition   Yes Yes Yes Yes   Yes   Yes      
Action   Yes Yes Yes Yes   Yes   No      
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   16 32 37 40 41 41 43 43 43 43 43
Closed Lower   4 15 15 15 19 18 29 18 18 20 21
Penetrated Low   2 7 11 11 10 16 20 13 12 16 12
Scenario Percentage   50% 47% 73% 73% 53% 89% 69% 72% 67% 80% 57%
Avg Max Decline   4.87% 5.16% 5.71% 5.52% 4.71% 5.11% 6.82% 7.85% 7.75% 6.56% 5.78%
Max Decline   7.23% 9.41% 10.51% 14.35% 14.82% 15.42% 17.94% 16.94% 15.28% 12.39% 9.34%
Avg Days To Max Decline   23 18 14 15 13 17 17 16 19 17 17
Avg Max Increase   0.00% -0.79% -1.08% -1.72% -1.06% -1.07% -1.97% -1.95% -1.78% -1.87% -0.44%
Max Increase   0.00% -1.73% -4.09% -5.95% -3.02% -2.93% -4.78% -7.17% -4.74% -6.48% -2.47%
Avg Days to Max Increase   1 9 8 9 5 7 12 10 8 8 4
2015 Contract Condition           Yes   Yes   Yes Yes Yes
Action           No   Yes   Yes Yes Not Yet
High 174.000 183.100 191.700 210.780 214.230 212.135 227.750 237.730 236.550 235.300 224.480 205.150
Low 171.900 171.800 183.500 191.500 202.030 201.800 209.950 223.800 225.300 207.750 195.400 193.000
Close/Last 172.500 183.080 191.600 207.300 210.980 210.030 226.780 225.750 230.200 217.330 205.200 201.900

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