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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 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   18 33 39 40 40 42 42 44 44 44 44
Closed Higher   10 19 25 19 20 17 24 27 27 25 22
Exceeded High   10 18 18 15 17 11 21 25 23 20 19
Scenario Percentage   100% 95% 72% 79% 85% 65% 88% 93% 85% 80% 86%
Avg Max Increase   5.20% 4.54% 3.81% 3.76% 4.18% 4.66% 4.93% 5.58% 5.98% 7.12% 3.95%
Max Increase   11.53% 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 18 14 20 21 19 16 16 11 13
Avg Max Decline   -2.40% -0.81% -1.59% -1.33% -1.12% -1.44% -1.45% -1.18% -1.70% -1.36% -0.80%
Max Decline   -9.58% -2.55% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.58% -4.35%
Avg Days to Max Decline   8 10 11 9 8 9 10 8 10 5 1
2016 Contract Condition   Yes         Yes   Yes   Yes  
Action   Yes         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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   18 33 39 40 40 42 42 44 44 44 44
Closed Lower   8 14 14 21 20 24 18 17 17 19 22
Penetrated Low   5 10 10 12 18 16 11 11 13 13 13
Scenario Percentage   63% 71% 71% 57% 90% 67% 61% 65% 76% 68% 59%
Avg Max Decline   3.16% 6.17% 6.05% 4.55% 4.88% 6.81% 7.17% 7.33% 7.80% 8.15% 5.34%
Max Decline   8.48% 10.47% 15.90% 14.09% 15.76% 18.71% 17.23% 15.63% 16.52% 13.35% 9.69%
Avg Days To Max Decline   19 13 16 13 19 17 16 19 20 13 14
Avg Max Increase   -0.71% -1.05% -2.01% -1.15% -1.49% -1.47% -1.47% -1.69% -1.77% -0.44% -0.61%
Max Increase   -3.76% -4.71% -6.32% -2.92% -10.72% -4.67% -5.68% -3.59% -6.36% -2.82% -1.71%
Avg Days to Max Increase   6 4 11 10 9 13 6 8 6 4 2
2016 Contract Condition     Yes Yes Yes Yes   Yes   Yes   Yes
Action     Yes Yes Yes Yes   Yes   Yes   Yes
High 202.450 213.000 213.080 206.500 200.000 188.680 183.850 180.580 164.650 166.500 159.885 166.735
Low 202.450 203.000 204.000 195.230 184.200 165.385 163.850 156.930 142.550 148.300 146.850 151.450
Close/Last 202.450 212.500 204.000 196.650 187.100 166.050 179.700 161.950 163.530 156.680 159.080 157.080

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