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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Higher   21 23 28 30 24 22 22 25 20 23 24
Exceeded High   19 18 27 28 19 19 19 19 16 21 19
Scenario Percentage   90% 78% 96% 93% 79% 86% 86% 76% 80% 91% 79%
Avg Max Increase   2.99% 3.52% 4.22% 4.22% 4.34% 5.43% 7.51% 6.73% 7.75% 7.37% 4.43%
Max Increase   6.97% 8.67% 19.17% 12.63% 14.13% 15.89% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase   19 15 17 16 18 18 20 15 20 15 15
Avg Max Decline   -1.64% -0.82% -1.38% -0.86% -1.39% -1.55% -1.54% -1.54% -2.10% -1.83% -1.10%
Max Decline   -6.31% -3.36% -4.06% -4.32% -3.95% -6.96% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline   11 7 7 8 9 7 7 8 13 11 3
2016 Contract Condition     Yes   Yes   Yes     Yes    
Action     No   Yes   Yes     No    
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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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Lower   20 20 16 13 20 22 22 20 24 22 20
Penetrated Low   15 13 12 8 16 15 19 14 18 18 10
Scenario Percentage   75% 65% 75% 62% 80% 68% 86% 70% 75% 82% 50%
Avg Max Decline   4.46% 5.14% 5.86% 5.97% 5.40% 7.03% 6.32% 7.14% 6.31% 6.01% 3.23%
Max Decline   17.36% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 7.32%
Avg Days To Max Decline   15 14 17 19 20 21 18 16 18 13 10
Avg Max Increase   -1.24% -0.73% -1.11% -1.86% -1.42% -0.64% -1.40% -1.70% -1.42% -1.63% -1.28%
Max Increase   -8.77% -2.07% -3.29% -3.40% -3.97% -2.00% -5.21% -7.34% -3.58% -4.35% -7.13%
Avg Days to Max Increase   5 4 7 11 7 6 9 8 5 7 3
2016 Contract Condition   Yes   Yes   Yes   Yes Yes   Yes Yes
Action   Yes   Yes   No   Yes Yes   Yes Not Yet
High 139.750 134.750 132.650 130.180 124.085 124.650 122.230 125.350 120.700 120.680 119.430 115.350
Low 131.800 121.180 121.335 117.300 112.800 115.400 115.635 118.280 110.930 111.450 109.585 107.100
Close/Last 133.780 121.950 130.180 121.585 123.680 119.550 121.150 120.180 112.430 118.050 114.835 113.085

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