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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, 2018
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   19 34 40 41 41 43 43 45 45 45 45
Closed Higher   11 19 26 19 20 17 25 28 27 26 23
Exceeded High   10 18 19 15 17 11 22 26 23 21 20
Scenario Percentage   91% 95% 73% 79% 85% 65% 88% 93% 85% 81% 87%
Avg Max Increase   5.20% 4.54% 3.83% 3.76% 4.18% 4.66% 4.95% 5.55% 5.98% 7.33% 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 17 14 20 21 19 16 16 12 13
Avg Max Decline   -2.40% -0.81% -1.45% -1.33% -1.12% -1.44% -1.55% -1.19% -1.70% -1.44% -0.92%
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 9 8 10 5 1
2017 Contract Condition   Yes   Yes       Yes Yes   Yes Yes
Action   No   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   19 34 40 41 41 43 43 45 45 45 45
Closed Lower   8 15 14 22 21 25 18 17 18 19 22
Penetrated Low   5 11 10 13 19 16 11 11 14 13 13
Scenario Percentage   63% 73% 71% 59% 90% 64% 61% 65% 78% 68% 59%
Avg Max Decline   3.16% 6.03% 6.05% 5.39% 4.92% 6.81% 7.17% 7.33% 7.34% 8.15% 5.34%
Max Decline   8.48% 10.47% 15.90% 15.39% 15.76% 18.71% 17.23% 15.63% 16.52% 13.35% 9.69%
Avg Days To Max Decline   19 14 16 13 19 17 16 19 18 13 14
Avg Max Increase   -0.71% -1.34% -2.01% -0.94% -1.57% -1.47% -1.47% -1.69% -1.69% -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 7 11 10 9 13 6 8 6 4 2
2017 Contract Condition     Yes   Yes Yes Yes     Yes    
Action     Yes   Yes Yes No     Yes    
High 129.680 136.950 133.430 135.235 136.530 126.730 118.900 124.300 126.730 130.635 126.150 137.430
Low 129.430 128.550 125.000 126.030 124.900 114.650 108.930 111.930 119.750 122.085 120.635 120.930
Close/Last 129.430 133.150 131.000 131.050 128.750 115.385 111.800 124.130 124.650 122.430 124.700 133.950

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