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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, 2015
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   16 31 37 38 38 40 40 42 42 42 42
Closed Higher   8 18 24 19 19 16 23 26 27 24 21
Exceeded High   8 17 17 15 16 11 21 24 23 19 18
Scenario Percentage   100% 94% 71% 79% 84% 69% 91% 92% 85% 79% 86%
Avg Max Increase   5.02% 4.63% 3.58% 3.76% 4.14% 4.66% 4.93% 5.74% 5.98% 7.18% 3.99%
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 19 17 14 20 21 19 17 16 11 12
Avg Max Decline   -3.02% -0.70% -1.44% -1.33% -1.18% -1.44% -1.45% -1.16% -1.70% -1.34% -0.83%
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 9 11 9 9 9 10 8 10 5 1
2014 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes Yes Yes
Action     Yes Yes   Yes Yes Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   16 31 37 38 38 40 40 42 42 42 42
Closed Lower   8 13 13 19 19 23 17 16 15 18 21
Penetrated Low   5 9 9 11 17 15 10 10 11 13 12
Scenario Percentage   63% 69% 69% 58% 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
2014 Contract Condition   Yes     Yes              
Action   No     No              
High 152.900 153.385 157.500 160.900 160.500 163.700 168.850 167.050 169.100 171.280 174.830 179.850
Low 152.900 150.950 151.500 157.200 155.750 156.930 162.800 162.800 164.830 167.000 167.135 171.500
Close/Last 152.900 152.000 157.000 160.250 158.250 163.575 165.750 166.400 168.100 169.680 173.080 177.030

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