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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   15 30 36 37 37 39 39 41 41 41 41
Closed Higher   8 17 23 19 18 15 22 25 26 23 20
Exceeded High   8 16 16 15 15 10 20 23 22 18 17
Scenario Percentage   100% 94% 70% 79% 83% 67% 91% 92% 85% 78% 85%
Avg Max Increase   5.02% 4.76% 3.67% 3.76% 4.20% 4.92% 5.03% 5.81% 5.97% 7.35% 4.12%
Max Increase   9.27% 9.99% 8.89% 10.58% 8.15% 10.94% 10.71% 16.45% 18.88% 21.09% 13.09%
Avg Days To Max Increase   18 18 16 14 21 20 19 16 16 11 12
Avg Max Decline   -3.02% -0.75% -1.35% -1.33% -1.23% -1.40% -1.48% -1.18% -1.71% -1.37% -0.84%
Max Decline   -9.58% -2.54% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.58% -4.35%
Avg Days to Max Decline   9 10 10 9 10 8 10 8 10 5 1
2013 Contract Condition   Yes     Yes   Yes   Yes      
Action   Yes     Yes   Yes   No      
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   15 30 36 37 37 39 39 41 41 41 41
Closed Lower   7 13 13 18 19 23 17 16 15 18 21
Penetrated Low   5 9 9 11 17 15 10 10 11 13 12
Scenario Percentage   71% 69% 69% 61% 89% 65% 59% 63% 73% 72% 57%
Avg Max Decline   3.16% 5.78% 4.96% 3.84% 4.84% 6.72% 6.69% 6.93% 8.10% 8.15% 5.16%
Max Decline   8.48% 10.47% 14.00% 14.09% 15.76% 18.71% 17.23% 15.63% 16.52% 13.35% 9.69%
Avg Days To Max Decline   19 11 14 14 19 17 16 21 22 13 12
Avg Max Increase   -0.71% -1.03% -2.05% -1.18% -0.95% -1.26% -1.45% -1.54% -1.99% -0.44% -0.63%
Max Increase   -3.76% -4.71% -6.32% -2.92% -2.52% -3.41% -5.68% -3.59% -6.36% -2.82% -1.71%
Avg Days to Max Increase   6 4 11 10 8 13 7 9 7 4 2
2013 Contract Condition     Yes Yes   Yes   Yes   Yes Yes Yes
Action     Yes No   Yes   Yes   Yes Yes Yes
High 158.000 164.000 164.500 158.600 154.350 155.600 154.800 152.180 158.450 158.250 153.000 146.180
Low 158.000 158.000 153.750 146.500 150.000 150.750 150.000 148.735 149.385 147.250 142.200 136.780
Close/Last 158.000 161.700 158.900 151.000 154.000 151.000 152.150 149.930 156.500 152.575 144.930 143.400

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