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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   17 33 38 41 42 42 44 44 44 44 44
Closed Higher   12 18 22 25 22 23 15 24 26 23 22
Exceeded High   9 14 21 18 16 18 9 21 24 19 13
Scenario Percentage   75% 78% 95% 72% 73% 78% 60% 88% 92% 83% 59%
Avg Max Increase   6.97% 5.17% 4.37% 4.16% 4.21% 5.09% 4.06% 5.95% 5.74% 6.21% 4.29%
Max Increase   15.13% 11.81% 9.73% 9.12% 11.69% 8.82% 5.76% 22.42% 15.82% 16.68% 10.89%
Avg Days To Max Increase   20 19 19 18 15 20 16 17 17 14 13
Avg Max Decline   -0.49% -2.16% -0.88% -1.78% -1.59% -1.87% -1.51% -1.62% -1.42% -1.84% -0.56%
Max Decline   -1.68% -10.19% -2.93% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -1.60%
Avg Days to Max Decline   5 11 9 8 10 10 7 9 6 7 2
2016 Contract Condition     Yes         Yes   Yes   Yes
Action     No         No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   17 33 38 41 42 42 44 44 44 44 44
Closed Lower   5 15 16 16 20 19 29 19 18 21 21
Penetrated Low   2 7 12 12 11 17 20 14 12 17 12
Scenario Percentage   40% 47% 75% 75% 55% 89% 69% 74% 67% 81% 57%
Avg Max Decline   4.87% 5.16% 6.04% 6.41% 5.43% 5.19% 6.82% 8.13% 7.75% 6.52% 5.71%
Max Decline   7.23% 9.41% 10.51% 16.22% 14.82% 15.42% 17.94% 16.94% 15.28% 12.39% 9.34%
Avg Days To Max Decline   23 18 15 16 12 17 17 16 19 16 17
Avg Max Increase   0.00% -0.79% -1.16% -1.72% -1.08% -1.64% -1.97% -1.96% -1.78% -1.85% -0.44%
Max Increase   0.00% -1.73% -4.09% -5.95% -3.02% -10.79% -4.78% -7.17% -4.74% -6.48% -2.47%
Avg Days to Max Increase   1 9 8 8 5 8 12 9 8 8 4
2016 Contract Condition   Yes   Yes Yes Yes Yes   Yes   Yes  
Action   No   Yes Yes Yes Yes   Yes   Yes  
High 205.000 206.750 212.530 212.250 205.885 200.000 188.900 183.580 180.135 163.885 166.885 159.900
Low 199.950 195.330 203.530 201.500 194.635 182.280 164.750 162.885 155.050 141.700 147.780 146.735
Close/Last 205.000 204.150 211.250 201.780 196.650 186.600 165.700 179.180 160.430 163.650 157.250 158.150

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