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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 36 39 41 42 42 45 45 45 45 45
Closed Higher   13 23 19 22 19 22 26 28 27 22 24
Exceeded High   12 18 14 18 14 19 26 24 23 21 15
Scenario Percentage   92% 78% 74% 82% 74% 86% 100% 86% 85% 95% 63%
Avg Max Increase   3.90% 3.80% 4.04% 4.32% 3.84% 4.88% 5.05% 5.90% 6.41% 5.83% 3.71%
Max Increase   6.75% 8.60% 10.67% 8.83% 10.43% 10.55% 17.01% 16.55% 21.46% 21.34% 11.90%
Avg Days To Max Increase   17 19 14 21 19 19 16 18 16 13 16
Avg Max Decline   -0.93% -1.68% -1.28% -1.57% -1.00% -1.43% -1.11% -1.58% -1.92% -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 9 10 9 6 2
2016 Contract Condition           Yes   Yes   Yes    
Action           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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 36 39 41 42 42 45 45 45 45 45
Closed Lower   11 13 18 19 23 19 19 17 18 23 21
Penetrated Low   9 9 11 17 17 12 11 14 13 18 11
Scenario Percentage   82% 69% 61% 89% 74% 63% 58% 82% 72% 78% 52%
Avg Max Decline   5.47% 6.09% 4.34% 4.93% 5.95% 6.70% 7.05% 7.00% 8.42% 7.19% 4.33%
Max Decline   9.18% 15.64% 13.50% 16.11% 18.56% 17.50% 16.54% 17.19% 18.27% 17.99% 7.25%
Avg Days To Max Decline   14 16 11 17 15 18 21 20 21 14 13
Avg Max Increase   -1.36% -1.39% -1.20% -1.63% -1.31% -1.31% -1.35% -1.39% -0.86% -1.50% -0.67%
Max Increase   -4.57% -5.64% -3.14% -10.99% -4.77% -5.38% -3.09% -5.49% -3.22% -7.21% -1.30%
Avg Days to Max Increase   8 7 10 11 10 8 7 6 6 6 3
2016 Contract Condition   Yes Yes Yes Yes   Yes   Yes   Yes Yes
Action   Yes Yes Yes Yes   Yes   Yes   Yes Not Yet
High 212.450 212.430 205.480 198.750 188.680 183.780 180.330 164.900 166.080 158.150 165.885 156.500
Low 207.900 201.250 194.000 183.000 164.985 163.400 157.500 142.650 148.135 146.550 149.580 138.580
Close/Last 212.000 201.500 195.580 187.000 165.580 179.580 162.485 163.850 155.830 158.050 155.250 140.430

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