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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, 2016
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   23 35 38 40 41 41 44 44 44 44 44
Closed Higher   13 23 19 22 18 22 25 28 26 22 24
Exceeded High   12 18 14 18 14 19 25 24 22 21 15
Scenario Percentage   92% 78% 74% 82% 78% 86% 100% 86% 85% 95% 63%
Avg Max Increase   3.90% 3.80% 4.04% 4.32% 3.84% 4.88% 5.20% 5.90% 6.45% 5.74% 3.60%
Max Increase   6.75% 8.60% 10.67% 8.83% 10.43% 10.55% 17.01% 16.55% 21.46% 19.62% 11.90%
Avg Days To Max Increase   17 19 14 21 19 19 16 18 16 12 15
Avg Max Decline   -0.93% -1.68% -1.28% -1.57% -1.00% -1.43% -1.10% -1.58% -1.94% -1.56% -0.47%
Max Decline   -2.60% -4.76% -4.98% -9.65% -3.19% -4.84% -6.22% -5.66% -5.23% -4.62% -1.82%
Avg Days to Max Decline   9 12 7 9 7 9 10 10 9 6 2
2015 Contract Condition   Yes Yes   Yes   Yes       Yes  
Action   Yes Yes   Yes   No       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   23 35 38 40 41 41 44 44 44 44 44
Closed Lower   10 12 17 18 23 18 19 16 18 22 20
Penetrated Low   8 8 10 16 17 11 11 13 13 17 11
Scenario Percentage   80% 67% 59% 89% 74% 61% 58% 81% 72% 77% 55%
Avg Max Decline   5.01% 4.90% 3.51% 4.93% 5.95% 6.20% 7.05% 7.08% 8.42% 6.96% 4.18%
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% -1.31% -1.29% -1.35% -1.39% -0.86% -1.54% -0.67%
Max Increase   -4.57% -5.64% -3.14% -2.46% -4.77% -5.38% -3.09% -5.49% -3.22% -7.21% -1.30%
Avg Days to Max Increase   9 8 10 10 10 8 7 6 6 6 3
2015 Contract Condition       Yes   Yes   Yes Yes Yes   Yes
Action       No   Yes   Yes Yes No   Not Yet
High 192.500 210.250 214.000 212.135 227.330 237.530 236.330 235.900 225.600 205.580 219.400 220.885
Low 190.430 192.000 202.000 201.200 210.000 223.980 225.450 207.930 197.550 193.900 196.900 204.550
Close/Last 192.000 207.400 211.250 209.930 226.480 225.580 230.850 219.050 206.135 198.885 216.900 212.980

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