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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   22 34 37 39 40 40 43 43 43 43 43
Closed Higher   12 22 19 21 18 21 25 28 26 21 24
Exceeded High   11 17 14 17 14 19 25 24 22 20 15
Scenario Percentage   92% 77% 74% 81% 78% 90% 100% 86% 85% 95% 63%
Avg Max Increase   3.97% 3.57% 4.04% 4.28% 3.84% 4.88% 5.20% 5.90% 6.45% 5.99% 3.66%
Max Increase   6.75% 8.60% 10.67% 8.83% 10.43% 10.55% 17.01% 16.55% 21.46% 20.48% 11.90%
Avg Days To Max Increase   16 19 14 22 19 19 16 18 16 13 15
Avg Max Decline   -0.78% -1.50% -1.28% -1.66% -1.00% -1.43% -1.10% -1.58% -1.94% -1.61% -0.47%
Max Decline   -2.45% -4.48% -4.98% -9.65% -3.19% -4.84% -6.22% -5.66% -5.23% -4.62% -1.82%
Avg Days to Max Decline   8 12 7 10 7 9 10 10 9 7 2
2014 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes Yes Yes
Action   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   22 34 37 39 40 40 43 43 43 43 43
Closed Lower   10 12 16 18 22 18 18 15 17 22 19
Penetrated Low   8 8 10 16 16 11 10 12 13 17 11
Scenario Percentage   80% 67% 63% 89% 73% 61% 56% 80% 76% 77% 58%
Avg Max Decline   5.01% 4.90% 3.51% 4.93% 5.83% 6.20% 6.60% 7.17% 8.42% 6.97% 4.21%
Max Decline   7.50% 13.63% 13.50% 16.11% 18.56% 17.50% 16.54% 17.19% 18.27% 17.99% 7.25%
Avg Days To Max Decline   13 15 12 17 15 18 21 20 21 13 12
Avg Max Increase   -1.28% -1.36% -1.23% -1.04% -1.10% -1.29% -1.19% -1.52% -0.86% -1.54% -0.67%
Max Increase   -4.57% -5.64% -3.14% -2.46% -3.22% -5.38% -3.09% -5.49% -3.22% -7.21% -1.30%
Avg Days to Max Increase   9 8 10 10 10 8 7 7 6 6 3
2014 Contract Condition       Yes                
Action       No                
High 153.500 157.635 161.400 160.900 163.750 168.735 167.500 169.550 171.800 175.250 180.350 181.780
Low 153.250 152.000 157.100 155.900 157.150 163.100 162.825 165.330 167.600 167.850 171.900 176.385
Close/Last 153.250 157.000 160.400 158.350 163.400 165.850 167.180 168.680 170.080 173.700 177.850 181.200

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