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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 Aug 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 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 31 30 26 24 25 21 24 28 19 25
Exceeded High   26 26 26 21 21 18 17 23 25 18 18
Scenario Percentage   90% 84% 87% 81% 88% 72% 81% 96% 89% 95% 72%
Avg Max Increase   3.65% 4.63% 4.10% 4.61% 5.27% 5.98% 6.74% 7.16% 4.79% 6.74% 4.77%
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 17 18 18 16 17 16 15 14 17
Avg Max Decline   -1.26% -0.56% -1.33% -1.15% -1.48% -1.26% -1.79% -1.94% -2.21% -1.54% -0.65%
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 7 8 7 9 9 6 11 3
2017 Contract Condition   Yes Yes   Yes Yes Yes          
Action   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 13 14 18 21 20 24 21 16 26 20
Penetrated Low   10 5 11 12 17 14 19 15 15 20 14
Scenario Percentage   71% 38% 79% 67% 81% 70% 79% 71% 94% 77% 70%
Avg Max Decline   4.45% 7.52% 6.09% 6.73% 6.29% 6.11% 5.17% 6.53% 6.49% 7.65% 3.85%
Max Decline   12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 14.56% 23.20% 12.03%
Avg Days To Max Decline   17 18 21 18 17 17 20 20 16 11 11
Avg Max Increase   -1.02% -1.72% -1.48% -0.34% -1.06% -1.53% -1.75% -2.62% -2.51% -1.69% -1.15%
Max Increase   -3.67% -2.70% -3.63% -1.34% -3.76% -6.72% -5.22% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   7 12 7 6 6 8 9 15 9 6 2
2017 Contract Condition       Yes       Yes Yes Yes Yes  
Action       Yes       Yes Yes Yes Not Yet  
High 97.750 99.750 100.750 104.480 102.980 109.730 118.430 121.480 122.850 119.300 115.600  
Low 91.750 93.800 97.230 99.430 99.135 101.300 104.980 113.780 111.150 111.250 104.200  
Close/Last 94.385 99.750 100.430 99.700 102.335 106.635 118.335 118.150 115.200 111.950 105.400  

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