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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   18 34 39 42 43 43 45 45 45 45 45
Closed Higher   12 19 22 25 22 23 15 25 27 23 23
Exceeded High   9 14 21 18 16 18 9 22 25 19 14
Scenario Percentage   75% 74% 95% 72% 73% 78% 60% 88% 93% 83% 61%
Avg Max Increase   6.97% 5.17% 4.37% 4.16% 4.21% 5.09% 4.06% 5.95% 5.72% 6.37% 4.79%
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 16 16
Avg Max Decline   -0.49% -2.16% -0.88% -1.78% -1.59% -1.87% -1.51% -1.71% -1.43% -1.84% -0.76%
Max Decline   -1.68% -10.19% -2.93% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -3.08%
Avg Days to Max Decline   5 11 9 8 10 10 7 9 6 7 3
2017 Contract Condition     Yes           Yes Yes   Yes
Action     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   18 34 39 42 43 43 45 45 45 45 45
Closed Lower   6 15 17 17 21 20 30 19 18 22 21
Penetrated Low   3 7 12 13 12 18 20 14 12 18 12
Scenario Percentage   50% 47% 71% 76% 57% 90% 67% 74% 67% 82% 57%
Avg Max Decline   5.33% 5.16% 6.04% 6.84% 6.26% 5.21% 6.82% 8.13% 7.75% 6.31% 5.79%
Max Decline   7.23% 9.41% 10.51% 16.22% 15.41% 15.42% 17.94% 16.94% 15.28% 12.39% 9.34%
Avg Days To Max Decline   22 18 15 17 12 17 17 16 19 17 18
Avg Max Increase   -1.97% -0.79% -1.16% -1.97% -0.96% -1.69% -1.97% -1.96% -1.78% -1.84% -0.44%
Max Increase   -5.91% -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   4 9 8 8 5 7 12 9 8 8 4
2017 Contract Condition   Yes   Yes Yes Yes Yes Yes     Yes  
Action   Yes   No Yes Yes Yes No     Yes  
High 139.330 142.530 138.000 134.150 134.600 137.080 128.575 118.500 124.730 127.350 131.750 125.900
Low 134.825 128.550 127.280 122.180 125.500 124.880 114.930 109.085 112.400 120.000 122.335 120.500
Close/Last 139.330 130.300 132.950 132.000 130.575 128.950 115.600 112.280 124.450 125.100 122.780 125.085

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