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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 Mar 31, 2017
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 20 22 27 31 29 28 26 22 23 21
Exceeded High   20 16 20 21 26 28 22 22 18 16 14
Scenario Percentage   69% 80% 91% 78% 84% 97% 79% 85% 82% 70% 67%
Avg Max Increase   4.15% 3.45% 3.72% 3.77% 4.74% 4.31% 6.23% 6.27% 8.64% 7.66% 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 19 17 17 13 15
Avg Max Decline   -1.34% -1.34% -1.52% -1.23% -1.75% -1.05% -1.57% -1.46% -1.65% -1.42% -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 8 6 8 7 3
2017 Contract Condition         Yes Yes Yes   Yes Yes    
Action         Yes Yes Yes   Yes Not Yet    
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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 24 23 17 14 16 17 19 23 22 24
Penetrated Low   12 17 17 12 11 8 13 13 20 15 17
Scenario Percentage   92% 71% 74% 71% 79% 50% 76% 68% 87% 68% 71%
Avg Max Decline   5.75% 5.47% 4.30% 5.66% 6.48% 6.93% 5.79% 8.33% 7.21% 6.91% 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   15 15 15 12 16 20 21 21 18 13 13
Avg Max Increase   -1.20% -0.79% -1.50% -1.34% -1.06% -2.14% -2.19% -0.79% -1.57% -1.76% -0.69%
Max Increase   -4.24% -1.67% -8.42% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -8.48% -2.56%
Avg Days to Max Increase   4 7 6 7 5 10 8 5 6 7 4
2017 Contract Condition   Yes Yes Yes       Yes        
Action   Yes Yes Yes       Yes        
High 110.150 108.430 107.950 101.300 97.585 102.950 105.750 109.635 107.850 114.200    
Low 104.650 100.600 99.300 93.600 91.300 94.600 100.030 103.280 103.150 105.385    
Close/Last 107.730 104.200 101.300 93.950 95.650 102.900 104.680 104.200 107.550 110.885    

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