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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 Dec 30, 2016
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   24 36 42 43 44 45 45 45 45 45 45
Closed Higher   15 24 23 19 26 27 26 28 24 24 18
Exceeded High   15 20 16 18 19 22 25 24 20 20 6
Scenario Percentage   100% 83% 70% 95% 73% 81% 96% 86% 83% 83% 33%
Avg Max Increase   5.25% 4.40% 6.20% 5.59% 6.56% 6.20% 6.53% 4.91% 4.98% 3.57% 2.32%
Max Increase   14.30% 16.22% 13.46% 23.93% 16.07% 18.16% 33.08% 12.84% 16.13% 10.84% 4.51%
Avg Days To Max Increase   17 16 18 16 20 20 17 15 10 11 9
Avg Max Decline   -0.37% -0.86% -1.05% -1.01% -1.13% -1.57% -1.22% -1.81% -1.34% -1.35% -0.73%
Max Decline   -3.05% -3.23% -5.05% -5.29% -4.15% -6.17% -3.99% -6.29% -7.19% -8.14% -1.65%
Avg Days to Max Decline   7 6 7 6 11 9 10 7 7 4 3
2016 Contract Condition             Yes     Yes   Yes
Action             No     No   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   24 36 42 43 44 45 45 45 45 45 45
Closed Lower   9 12 19 22 17 18 19 17 21 21 25
Penetrated Low   5 9 14 16 10 12 13 13 13 18 13
Scenario Percentage   56% 75% 74% 73% 59% 67% 68% 76% 62% 86% 52%
Avg Max Decline   4.99% 5.92% 7.21% 5.27% 4.57% 6.47% 6.62% 8.27% 7.46% 4.53% 2.98%
Max Decline   11.89% 16.98% 22.26% 11.39% 10.11% 12.57% 12.22% 25.87% 16.68% 12.76% 7.00%
Avg Days To Max Decline   11 18 17 17 18 17 16 15 12 12 8
Avg Max Increase   -1.05% -1.16% -0.97% -1.25% -1.26% -1.07% -1.64% -2.51% -1.10% -1.83% -0.66%
Max Increase   -1.89% -5.12% -5.50% -6.67% -6.89% -4.01% -4.87% -8.96% -3.73% -7.18% -2.00%
Avg Days to Max Increase   6 5 5 8 4 4 9 9 5 7 2
2016 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes   Yes  
Action   No Yes Yes Yes Yes   No Yes   Yes  
High 161.500 160.000 157.680 151.450 156.080 149.235 145.000 141.600 141.500 143.680 135.100 125.480
Low 156.750 138.580 141.385 138.650 142.300 133.385 133.600 129.300 129.900 130.680 119.430 114.650
Close/Last 157.280 156.330 149.150 148.830 147.950 135.650 139.830 139.450 135.250 135.430 119.650 121.850

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