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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Feeder 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   20 31 32 36 36 37 39 39 39 39 39
Closed Higher   12 13 21 22 22 27 19 21 14 23 22
Exceeded High   10 13 17 20 22 21 17 19 11 19 18
Scenario Percentage   83% 100% 81% 91% 100% 78% 89% 90% 79% 83% 82%
Avg Max Increase   5.82% 5.49% 5.38% 4.84% 4.88% 4.31% 4.13% 4.61% 4.20% 4.66% 3.23%
Max Increase   15.76% 23.36% 15.37% 12.51% 10.16% 9.97% 15.07% 12.29% 8.07% 10.33% 7.28%
Avg Days To Max Increase   16 17 20 20 17 16 12 18 15 17 15
Avg Max Decline   -0.81% -1.25% -0.82% -2.40% -1.02% -1.64% -1.20% -1.55% -1.49% -1.81% -0.63%
Max Decline   -4.25% -7.28% -3.95% -11.41% -3.46% -5.68% -5.73% -7.29% -4.34% -5.38% -2.57%
Avg Days to Max Decline   6 10 12 10 6 9 8 8 9 10 4
2016 Contract Condition     Yes   Yes         Yes   Yes
Action     Yes   Yes         No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   20 31 32 36 36 37 39 39 39 39 39
Closed Lower   7 18 11 14 14 10 20 17 25 16 16
Penetrated Low   5 14 5 6 10 7 13 17 16 12 9
Scenario Percentage   71% 78% 45% 43% 71% 70% 65% 100% 64% 75% 56%
Avg Max Decline   5.42% 3.74% 5.38% 5.62% 6.50% 5.74% 4.56% 5.66% 6.49% 7.03% 3.87%
Max Decline   6.89% 11.95% 8.92% 10.44% 10.88% 16.12% 15.43% 15.48% 14.68% 13.88% 8.52%
Avg Days To Max Decline   18 18 20 20 17 13 15 16 17 15 15
Avg Max Increase   -0.13% -1.45% -0.41% -0.66% -1.48% -2.14% -1.94% -1.93% -2.18% -1.83% -1.11%
Max Increase   -0.22% -6.97% -0.94% -1.76% -4.42% -6.75% -6.22% -12.09% -4.32% -6.26% -4.12%
Avg Days to Max Increase   3 7 4 10 8 11 14 8 11 8 4
2016 Contract Condition   Yes   Yes   Yes Yes Yes Yes   Yes  
Action   No   No   Yes Yes Yes Yes   Yes  
High 210.000 202.500 209.500 210.500 214.030 214.150 208.050 202.780 191.800 187.500 184.385 167.850
Low 201.000 190.050 194.500 197.980 205.550 203.680 196.400 184.885 166.530 164.050 158.050 143.200
Close/Last 201.100 194.200 207.930 205.550 212.650 204.150 198.530 189.030 167.280 183.200 162.750 166.900

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