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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Live 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Higher   21 22 23 28 31 18 27 27 27 27 25
Exceeded High   19 17 20 26 23 17 25 16 23 24 18
Scenario Percentage   90% 77% 87% 93% 74% 94% 93% 59% 85% 89% 72%
Avg Max Increase   4.82% 5.48% 5.53% 6.08% 3.95% 4.40% 4.44% 4.52% 5.95% 6.95% 4.36%
Max Increase   20.95% 13.59% 24.14% 28.67% 14.74% 14.40% 14.77% 9.77% 14.42% 15.29% 8.50%
Avg Days To Max Increase   16 18 23 20 18 15 21 18 18 17 16
Avg Max Decline   -0.92% -0.97% -1.48% -1.21% -2.13% -1.26% -1.83% -1.39% -1.96% -1.66% -0.99%
Max Decline   -2.60% -3.30% -4.69% -5.28% -8.02% -3.25% -8.32% -3.73% -7.80% -7.68% -4.16%
Avg Days to Max Decline   7 11 12 9 12 10 14 10 7 12 3
2016 Contract Condition   Yes   Yes         Yes   Yes  
Action   Yes   Yes         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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 22 17 14 27 18 17 17 18 20
Penetrated Low   15 14 13 14 12 19 14 10 12 10 11
Scenario Percentage   75% 64% 59% 82% 86% 70% 78% 59% 71% 56% 55%
Avg Max Decline   4.33% 4.12% 5.63% 4.41% 5.72% 5.86% 5.03% 5.21% 8.39% 10.36% 3.39%
Max Decline   8.00% 7.25% 13.25% 11.40% 13.21% 19.34% 16.80% 14.48% 16.95% 16.13% 5.22%
Avg Days To Max Decline   17 19 20 19 15 14 18 12 14 18 14
Avg Max Increase   -0.73% -1.07% -1.40% -1.81% -1.55% -1.40% -2.84% -1.66% -1.30% -1.21% -1.19%
Max Increase   -1.90% -2.37% -4.08% -4.18% -3.98% -3.44% -9.53% -4.22% -4.48% -3.54% -4.21%
Avg Days to Max Increase   7 7 8 12 4 9 12 10 5 6 5
2016 Contract Condition     Yes   Yes Yes Yes Yes   Yes   Yes
Action     No   Yes Yes Yes Yes   Yes   Not Yet
High 148.350 151.900 152.000 156.000 156.300 155.385 150.400 146.530 145.985 144.050 137.885 137.700
Low 142.150 145.030 147.150 149.850 151.635 146.235 141.680 132.300 131.075 127.700 121.980 126.300
Close/Last 145.800 151.080 150.500 154.135 152.030 147.450 145.150 133.280 143.430 132.350 136.800 135.300

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