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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Live Cattle(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Higher   29 32 32 25 24 25 20 25 29 20 27
Exceeded High   27 27 28 20 21 18 17 24 26 18 20
Scenario Percentage   93% 84% 88% 80% 88% 72% 85% 96% 90% 90% 74%
Avg Max Increase   3.70% 4.93% 3.97% 4.72% 5.23% 5.98% 6.87% 6.88% 4.82% 6.74% 4.52%
Max Increase   9.11% 14.10% 11.76% 14.08% 20.35% 13.11% 21.44% 27.14% 13.64% 25.05% 18.26%
Avg Days To Max Increase   20 18 16 18 17 16 18 15 15 14 17
Avg Max Decline   -1.20% -0.47% -1.26% -1.16% -1.31% -1.26% -1.94% -1.88% -2.13% -1.54% -0.63%
Max Decline   -3.97% -1.65% -4.11% -5.63% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline   9 9 8 8 7 7 11 9 6 11 3
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes Yes Yes Yes Yes Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Lower   14 12 12 19 21 20 25 20 15 25 18
Penetrated Low   10 4 10 13 17 14 19 14 14 18 12
Scenario Percentage   71% 33% 83% 68% 81% 70% 76% 70% 93% 72% 67%
Avg Max Decline   4.01% 7.33% 6.29% 6.48% 6.19% 6.33% 5.17% 5.89% 5.25% 6.96% 3.79%
Max Decline   12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 13.56% 23.20% 12.03%
Avg Days To Max Decline   16 16 20 17 17 17 20 18 14 11 11
Avg Max Increase   -0.90% -1.62% -1.59% -0.46% -1.11% -1.17% -1.75% -2.55% -2.27% -1.69% -0.99%
Max Increase   -3.67% -2.70% -3.63% -1.96% -3.76% -2.33% -5.22% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   7 13 6 7 8 8 9 14 9 5 2
2014 Contract Condition                     Yes  
Action                     No  
High 131.235 130.200 131.150 135.100 136.200 139.930 141.000 144.700 155.750 160.750 157.250 161.750
Low 129.135 127.350 128.600 130.900 132.350 135.180 136.575 140.030 142.250 149.450 144.235 151.750
Close/Last 129.180 129.750 131.100 133.280 135.750 138.850 140.400 142.600 153.135 157.325 151.430 160.450

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