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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 Jan 01, 2018
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   21 32 33 37 37 38 40 40 40 40 40
Closed Higher   12 14 21 23 23 27 19 21 14 24 23
Exceeded High   10 13 17 20 23 21 17 19 11 20 19
Scenario Percentage   83% 93% 81% 87% 100% 78% 89% 90% 79% 83% 83%
Avg Max Increase   5.82% 5.49% 5.38% 4.84% 4.80% 4.31% 4.13% 4.61% 4.20% 4.52% 3.15%
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% -1.24% -1.64% -1.20% -1.55% -1.49% -1.94% -0.73%
Max Decline   -4.25% -7.28% -3.95% -11.41% -5.98% -5.68% -5.73% -7.29% -4.34% -5.38% -2.57%
Avg Days to Max Decline   6 10 12 10 7 9 8 8 9 10 4
2017 Contract Condition     Yes   Yes Yes         Yes Yes
Action     No   No 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   21 32 33 37 37 38 40 40 40 40 40
Closed Lower   8 18 12 14 14 11 21 18 26 16 16
Penetrated Low   6 14 6 6 10 8 14 18 16 12 8
Scenario Percentage   75% 78% 50% 43% 71% 73% 67% 100% 62% 75% 50%
Avg Max Decline   6.12% 3.74% 5.27% 5.62% 6.50% 6.51% 5.31% 5.64% 6.49% 7.03% 3.69%
Max Decline   9.60% 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   20 18 20 20 17 15 15 16 17 15 13
Avg Max Increase   -0.92% -1.45% -1.47% -0.66% -1.48% -2.59% -1.78% -2.00% -2.18% -1.83% -0.73%
Max Increase   -4.87% -6.97% -6.79% -1.76% -4.42% -6.75% -6.22% -12.09% -4.32% -6.26% -3.36%
Avg Days to Max Increase   4 7 5 10 8 11 13 8 11 8 3
2017 Contract Condition   Yes   Yes     Yes Yes Yes Yes    
Action   Yes   Yes     Yes Yes Yes No    
High 147.430 146.900 150.150 144.700 140.050 137.030 137.030 139.400 129.985 120.450 128.735 132.000
Low 145.000 134.000 138.530 129.430 129.350 124.980 127.100 126.380 116.135 110.650 114.950 122.930
Close/Last 145.000 143.300 143.680 131.150 134.930 135.180 131.780 130.350 116.835 116.000 128.430 130.450

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