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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 May 31, 2017
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   17 37 41 42 42 44 44 45 45 45 45
Closed Higher   9 15 24 27 28 25 21 27 26 26 27
Exceeded High   8 9 21 26 24 18 18 22 20 24 21
Scenario Percentage   89% 60% 88% 96% 86% 72% 86% 81% 77% 92% 78%
Avg Max Increase   4.26% 4.30% 4.48% 5.07% 5.00% 6.72% 6.37% 6.30% 7.07% 5.93% 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   18 19 20 16 16 17 20 20 19 16 15
Avg Max Decline   -1.21% -1.29% -1.17% -0.81% -1.32% -1.40% -1.44% -1.42% -1.72% -1.25% -0.97%
Max Decline   -2.86% -3.21% -4.34% -5.57% -4.41% -5.00% -5.63% -5.22% -7.20% -4.71% -2.83%
Avg Days to Max Decline   11 8 9 9 8 6 12 11 8 6 3
2017 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   17 37 41 42 42 44 44 45 45 45 45
Closed Lower   7 22 17 15 14 19 23 18 19 19 18
Penetrated Low   7 14 9 9 11 15 19 11 9 13 11
Scenario Percentage   100% 64% 53% 60% 79% 79% 83% 61% 47% 68% 61%
Avg Max Decline   5.01% 5.71% 7.65% 5.70% 7.07% 6.58% 6.21% 7.32% 9.89% 6.07% 2.38%
Max Decline   15.04% 15.87% 15.49% 10.70% 16.93% 18.30% 12.76% 29.63% 15.85% 12.18% 5.65%
Avg Days To Max Decline   16 16 19 16 19 19 16 19 19 15 6
Avg Max Increase   -2.40% -1.04% -0.49% -1.25% -1.22% -0.95% -1.48% -2.18% -1.35% -2.01% -0.80%
Max Increase   -10.70% -4.41% -1.54% -2.95% -5.44% -4.89% -7.40% -8.42% -3.03% -6.78% -2.98%
Avg Days to Max Increase   10 8 5 6 5 5 7 8 11 6 3
2017 Contract Condition   Yes Yes   Yes Yes       Yes    
Action   Yes No   No Yes       Not Yet    
High 129.485 127.680 120.030 124.000 125.380 129.100 126.550 137.000 155.100 163.500    
Low 125.950 116.450 109.900 112.480 119.550 121.980 120.635 122.850 130.735 144.650    
Close/Last 127.850 117.100 111.835 123.880 123.380 122.450 126.230 133.750 154.700 152.575    

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