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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   29 21 22 26 31 29 29 25 23 24 21
Exceeded High   20 17 20 21 26 28 23 21 19 17 14
Scenario Percentage   69% 81% 91% 81% 84% 97% 79% 84% 83% 71% 67%
Avg Max Increase   4.15% 3.30% 3.72% 3.77% 4.74% 4.68% 6.10% 6.36% 8.45% 7.41% 5.13%
Max Increase   11.99% 8.55% 7.95% 9.43% 16.47% 11.90% 17.54% 18.85% 23.53% 21.24% 11.83%
Avg Days To Max Increase   16 14 19 20 19 17 18 17 17 12 15
Avg Max Decline   -1.34% -1.34% -1.52% -1.23% -1.75% -1.02% -1.45% -1.49% -1.55% -1.32% -1.18%
Max Decline   -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.69% -6.83% -3.65%
Avg Days to Max Decline   6 13 11 12 11 9 7 6 8 7 3
2015 Contract Condition   Yes   Yes Yes Yes       Yes   Yes
Action   Yes   Yes Yes No       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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   13 23 23 18 14 16 16 20 22 21 24
Penetrated Low   12 16 17 13 11 8 13 13 19 14 17
Scenario Percentage   92% 70% 74% 72% 79% 50% 81% 65% 86% 67% 71%
Avg Max Decline   5.05% 5.24% 4.31% 5.62% 6.18% 6.93% 5.79% 8.33% 7.16% 7.33% 4.64%
Max Decline   12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 11.72%
Avg Days To Max Decline   13 14 16 12 15 20 21 21 18 13 13
Avg Max Increase   -1.13% -0.78% -1.07% -1.36% -0.95% -2.14% -2.19% -0.79% -1.62% -1.28% -0.69%
Max Increase   -4.24% -1.67% -3.34% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -3.76% -2.56%
Avg Days to Max Increase   4 7 5 7 5 10 8 5 6 7 4
2015 Contract Condition     Yes       Yes Yes Yes   Yes  
Action     No       Yes Yes No   No  
High 148.750 150.100 148.900 154.100 158.800 162.930 162.550 158.250 146.985 153.600 154.680 154.985
Low 140.000 143.050 142.900 146.250 151.900 155.330 146.650 140.985 138.600 142.600 145.180 148.400
Close/Last 147.235 148.100 146.050 152.550 155.700 161.300 154.900 144.635 143.850 152.330 149.700 152.330

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