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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Feeder Cattle(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   14 34 38 39 39 41 41 42 42 42 42
Closed Higher   7 13 22 25 27 24 19 26 23 25 26
Exceeded High   6 8 20 24 23 17 16 21 18 23 21
Scenario Percentage   86% 62% 91% 96% 85% 71% 84% 81% 78% 92% 81%
Avg Max Increase   4.38% 4.57% 4.56% 5.28% 4.96% 6.71% 6.31% 5.88% 6.99% 5.96% 4.01%
Max Increase   7.56% 9.20% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 12.08% 13.56%
Avg Days To Max Increase   21 17 20 16 16 16 19 19 19 16 15
Avg Max Decline   -1.54% -1.23% -1.19% -0.79% -1.33% -1.42% -1.22% -1.48% -1.83% -1.20% -0.97%
Max Decline   -2.86% -3.21% -4.34% -5.57% -4.41% -5.00% -2.71% -5.22% -7.20% -4.71% -2.83%
Avg Days to Max Decline   15 6 9 9 8 6 12 11 9 6 3
2013 Contract Condition     Yes   Yes           Yes Yes
Action     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   14 34 38 39 39 41 41 42 42 42 42
Closed Lower   6 21 16 14 12 17 22 16 19 17 16
Penetrated Low   6 13 8 8 9 14 18 10 9 11 11
Scenario Percentage   100% 62% 50% 57% 75% 82% 82% 63% 47% 65% 69%
Avg Max Decline   5.20% 5.54% 7.17% 5.08% 7.34% 6.21% 5.95% 7.61% 9.89% 6.25% 2.38%
Max Decline   15.04% 15.87% 15.49% 8.18% 16.93% 18.30% 12.76% 29.63% 15.85% 12.18% 5.65%
Avg Days To Max Decline   16 16 19 14 19 18 15 19 19 14 6
Avg Max Increase   -1.02% -0.78% -0.36% -1.04% -1.42% -0.67% -1.51% -1.55% -1.35% -2.07% -0.80%
Max Increase   -2.00% -2.35% -1.05% -2.29% -5.44% -2.00% -7.40% -4.29% -3.03% -6.78% -2.98%
Avg Days to Max Increase   8 7 5 6 6 4 8 8 11 7 3
2013 Contract Condition   Yes   Yes   Yes Yes Yes Yes Yes    
Action   Yes   No   Yes Yes Yes Yes No    
High 156.600 158.650 158.350 157.200 163.300 164.050 161.075 155.825 154.485 150.100 150.780 154.300
Low 155.650 154.350 154.800 153.800 155.500 155.350 152.485 145.250 144.500 142.300 143.100 149.550
Close/Last 156.600 155.250 156.250 156.000 162.180 160.250 154.885 152.250 148.900 144.325 149.450 153.430

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