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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   17 37 41 42 42 44 44 45 45 45 45
Closed Higher   9 15 24 27 28 25 21 27 26 26 27
Exceeded High   8 9 21 26 24 18 18 22 20 24 21
Scenario Percentage   89% 60% 88% 96% 86% 72% 86% 81% 77% 92% 78%
Avg Max Increase   4.26% 4.30% 4.48% 5.07% 5.00% 6.72% 6.37% 6.30% 7.07% 5.87% 3.94%
Max Increase   7.56% 9.20% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 11.04% 13.56%
Avg Days To Max Increase   18 19 20 16 16 17 20 20 19 16 15
Avg Max Decline   -1.21% -1.29% -1.17% -0.81% -1.32% -1.40% -1.44% -1.42% -1.72% -1.25% -0.97%
Max Decline   -2.86% -3.21% -4.34% -5.57% -4.41% -5.00% -5.63% -5.22% -7.20% -4.71% -2.83%
Avg Days to Max Decline   11 8 9 9 8 6 12 11 8 6 3
2016 Contract Condition     Yes   Yes   Yes     Yes    
Action     No   Yes   Yes     No    
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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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   17 37 41 42 42 44 44 45 45 45 45
Closed Lower   7 22 17 15 14 19 23 18 19 19 18
Penetrated Low   7 14 9 9 11 15 19 11 9 13 11
Scenario Percentage   100% 64% 53% 60% 79% 79% 83% 61% 47% 68% 61%
Avg Max Decline   5.01% 5.71% 7.65% 5.70% 7.07% 6.58% 6.21% 7.32% 9.89% 6.07% 2.38%
Max Decline   15.04% 15.87% 15.49% 10.70% 16.93% 18.30% 12.76% 29.63% 15.85% 12.18% 5.65%
Avg Days To Max Decline   16 16 19 16 19 19 16 19 19 15 6
Avg Max Increase   -2.40% -1.04% -0.49% -1.25% -1.22% -0.95% -1.48% -2.18% -1.35% -2.01% -0.80%
Max Increase   -10.70% -4.41% -1.54% -2.95% -5.44% -4.89% -7.40% -8.42% -3.03% -6.78% -2.98%
Avg Days to Max Increase   10 8 5 6 5 5 7 8 11 6 3
2016 Contract Condition   Yes   Yes   Yes   Yes Yes   Yes Yes
Action   Yes   Yes   Yes   Yes Yes   Yes Not Yet
High 190.000 189.100 184.100 180.885 166.580 167.350 158.750 164.100 156.430 152.200 148.530 146.100
Low 186.550 165.300 164.000 159.900 145.250 150.030 147.235 149.500 138.100 139.780 134.250 134.135
Close/Last 188.050 166.300 180.080 164.050 165.280 157.100 157.235 155.080 140.385 147.100 144.300 140.050

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