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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Live 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   21 28 31 20 23 25 30 28 29 26 26
Exceeded High   18 26 23 17 22 17 25 26 23 21 21
Scenario Percentage   86% 93% 74% 85% 96% 68% 83% 93% 79% 81% 81%
Avg Max Increase   5.31% 5.46% 3.61% 3.45% 3.54% 4.00% 5.87% 6.21% 7.53% 7.33% 5.02%
Max Increase   22.82% 28.72% 11.79% 10.35% 8.50% 9.13% 15.90% 15.44% 23.63% 23.61% 17.27%
Avg Days To Max Increase   22 21 15 16 20 20 16 20 19 13 13
Avg Max Decline   -1.19% -0.98% -1.63% -1.38% -1.98% -1.31% -1.87% -1.29% -1.68% -1.38% -0.93%
Max Decline   -3.66% -3.41% -7.69% -3.52% -8.67% -3.62% -6.20% -3.48% -4.87% -4.16% -2.90%
Avg Days to Max Decline   10 9 8 16 13 10 10 12 9 7 2
2015 Contract Condition   Yes Yes Yes   Yes Yes Yes       Yes
Action   Yes Yes Yes   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   22 16 14 25 21 20 14 17 16 19 19
Penetrated Low   12 11 12 18 16 12 10 9 13 12 14
Scenario Percentage   55% 69% 86% 72% 76% 60% 71% 53% 81% 63% 74%
Avg Max Decline   5.45% 4.29% 4.55% 5.36% 4.85% 4.38% 6.57% 8.67% 6.31% 7.84% 4.72%
Max Decline   12.45% 12.27% 12.81% 17.84% 15.87% 13.03% 15.83% 14.02% 13.57% 16.04% 11.54%
Avg Days To Max Decline   19 19 12 14 19 13 10 21 18 12 13
Avg Max Increase   -1.23% -1.25% -1.48% -1.03% -1.53% -1.72% -0.98% -1.95% -2.26% -1.48% -1.16%
Max Increase   -4.45% -3.64% -4.22% -4.40% -7.26% -3.38% -4.52% -4.32% -5.34% -4.89% -3.09%
Avg Days to Max Increase   8 9 4 7 10 10 3 12 8 7 3
2015 Contract Condition         Yes       Yes Yes Yes  
Action         No       Yes Yes No  
High 143.900 148.780 156.300 158.850 156.930 163.750 167.985 171.100 170.250 166.000 154.550 162.985
Low 139.550 143.530 147.850 150.400 149.100 154.430 159.900 164.780 154.900 146.650 145.300 150.150
Close/Last 143.830 148.500 154.800 157.050 154.385 162.280 165.600 169.000 162.400 152.280 151.700 161.330

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