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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, 2018
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   25 37 40 42 43 43 45 45 45 45 45
Closed Higher   13 24 19 22 19 23 27 27 27 23 24
Exceeded High   12 19 14 18 14 20 27 24 23 22 15
Scenario Percentage   92% 79% 74% 82% 74% 87% 100% 89% 85% 96% 63%
Avg Max Increase   3.90% 3.80% 4.04% 4.32% 3.84% 4.87% 5.04% 5.90% 7.19% 6.38% 3.99%
Max Increase   6.75% 8.60% 10.67% 8.83% 10.43% 10.55% 17.01% 16.55% 21.46% 21.17% 11.90%
Avg Days To Max Increase   17 19 14 21 19 19 16 18 16 12 15
Avg Max Decline   -0.93% -1.51% -1.28% -1.57% -1.00% -1.53% -1.11% -1.58% -1.98% -1.61% -0.44%
Max Decline   -2.60% -4.76% -4.98% -9.65% -3.19% -4.84% -6.22% -5.66% -5.23% -4.62% -1.67%
Avg Days to Max Decline   9 12 7 9 7 9 9 10 7 6 2
2017 Contract Condition     Yes       Yes Yes   Yes Yes Yes
Action     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   25 37 40 42 43 43 45 45 45 45 45
Closed Lower   12 13 19 20 24 19 18 18 18 22 21
Penetrated Low   10 9 12 18 17 12 11 15 13 17 11
Scenario Percentage   83% 69% 63% 90% 71% 63% 61% 83% 72% 77% 52%
Avg Max Decline   5.34% 6.09% 5.26% 4.96% 5.95% 6.70% 7.05% 6.63% 8.42% 7.58% 4.33%
Max Decline   9.18% 15.64% 15.38% 16.11% 18.56% 17.50% 16.54% 17.19% 18.27% 17.99% 7.25%
Avg Days To Max Decline   16 16 11 17 15 18 21 18 21 14 13
Avg Max Increase   -1.67% -1.39% -1.00% -1.68% -1.31% -1.31% -1.35% -1.32% -0.86% -1.55% -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   11 7 9 10 10 8 7 6 6 6 3
2017 Contract Condition   Yes   Yes Yes Yes     Yes      
Action   Yes   Yes Yes No     Yes      
High 133.075 133.350 134.325 135.500 126.850 117.835 123.335 125.180 129.000 125.250 136.235 149.850
Low 131.250 125.030 125.180 124.400 114.450 108.650 111.385 118.980 120.900 119.500 120.730 129.050
Close/Last 133.075 129.700 130.430 128.400 114.850 111.150 123.230 123.300 121.335 124.730 132.700 149.550

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