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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 34 40 40 43 43 44 44 44 44 44
Closed Higher   7 20 25 27 25 20 27 25 26 27 23
Exceeded High   6 18 25 24 18 18 20 20 24 23 13
Scenario Percentage   86% 90% 100% 89% 72% 90% 74% 80% 92% 85% 57%
Avg Max Increase   4.39% 4.71% 4.88% 4.95% 6.34% 5.77% 6.51% 7.06% 5.66% 5.10% 4.47%
Max Increase   9.04% 11.41% 14.86% 16.98% 13.74% 23.29% 15.76% 15.98% 10.82% 13.26% 13.04%
Avg Days To Max Increase   14 18 15 15 18 18 18 22 16 13 15
Avg Max Decline   -0.85% -0.82% -0.65% -1.07% -1.20% -1.16% -0.99% -1.82% -1.32% -1.81% -0.64%
Max Decline   -2.20% -3.04% -6.06% -3.61% -4.67% -5.60% -3.12% -6.69% -4.86% -6.34% -1.79%
Avg Days to Max Decline   9 9 7 7 5 7 8 10 8 6 3
2015 Contract Condition     Yes       Yes   Yes      
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 34 40 40 43 43 44 44 44 44 44
Closed Lower   9 14 14 13 18 23 17 19 18 17 20
Penetrated Low   8 9 8 9 15 17 10 11 12 12 11
Scenario Percentage   89% 64% 57% 69% 83% 74% 59% 58% 67% 71% 55%
Avg Max Decline   3.66% 5.50% 5.91% 7.45% 5.71% 5.74% 7.54% 8.47% 7.05% 6.19% 3.46%
Max Decline   11.88% 14.00% 11.05% 16.56% 16.03% 12.14% 29.88% 15.13% 12.06% 22.58% 7.23%
Avg Days To Max Decline   11 17 17 22 17 16 18 18 16 16 12
Avg Max Increase   -1.49% -0.50% -1.21% -1.22% -0.65% -1.47% -1.09% -1.27% -1.64% -2.74% -1.24%
Max Increase   -4.91% -1.99% -2.54% -5.25% -1.94% -8.09% -3.24% -4.09% -5.51% -8.36% -5.88%
Avg Days to Max Increase   11 6 6 6 4 8 8 5 8 12 3
2015 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes   Yes Yes No   No   Yes Yes Yes
High 225.780 236.280 234.700 235.000 225.980 206.200 218.800 220.150 223.900 225.550 217.480 212.885
Low 221.200 223.500 223.530 207.700 198.780 196.030 199.500 205.150 213.000 213.400 205.600 195.600
Close/Last 225.500 224.000 231.000 220.385 207.350 201.000 217.330 213.930 221.680 213.400 207.750 201.830

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