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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Feeder Cattle(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   14 32 38 38 41 41 42 42 42 42 42
Closed Higher   6 18 24 26 24 18 26 23 25 26 23
Exceeded High   5 16 24 23 17 16 19 18 23 22 13
Scenario Percentage   83% 89% 100% 88% 71% 89% 73% 78% 92% 85% 57%
Avg Max Increase   4.87% 5.01% 4.92% 4.89% 6.28% 5.61% 6.02% 7.01% 5.69% 5.14% 4.48%
Max Increase   9.04% 11.41% 14.86% 16.98% 13.74% 23.29% 15.76% 15.98% 10.82% 13.26% 13.04%
Avg Days To Max Increase   11 19 15 15 17 16 18 22 16 13 15
Avg Max Decline   -0.73% -0.91% -0.65% -1.09% -1.22% -0.91% -1.04% -1.94% -1.28% -1.62% -0.64%
Max Decline   -2.20% -3.04% -6.06% -3.61% -4.67% -2.50% -3.12% -6.69% -4.86% -6.34% -1.79%
Avg Days to Max Decline   7 10 7 7 5 7 9 10 8 6 3
2013 Contract Condition     Yes Yes           Yes Yes  
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   14 32 38 38 41 41 42 42 42 42 42
Closed Lower   8 14 13 12 17 23 16 19 17 16 18
Penetrated Low   7 9 7 8 15 17 10 11 11 11 10
Scenario Percentage   88% 64% 54% 67% 88% 74% 63% 58% 65% 69% 56%
Avg Max Decline   3.15% 5.50% 5.18% 7.70% 5.71% 5.74% 7.54% 8.47% 6.93% 6.02% 3.27%
Max Decline   11.88% 14.00% 7.91% 16.56% 16.03% 12.14% 29.88% 15.13% 12.06% 22.58% 7.23%
Avg Days To Max Decline   10 17 16 22 17 16 18 18 15 16 12
Avg Max Increase   -1.00% -0.50% -1.02% -1.44% -0.65% -1.47% -1.09% -1.27% -1.62% -2.77% -1.21%
Max Increase   -2.56% -1.99% -2.32% -5.25% -1.94% -8.09% -3.24% -4.09% -5.51% -8.36% -5.88%
Avg Days to Max Increase   8 6 6 7 4 8 8 5 8 13 3
2013 Contract Condition   Yes     Yes Yes Yes Yes Yes     Yes
Action   Yes     Yes Yes Yes Yes No     Not Yet
High 159.135 158.300 158.000 163.530 164.250 162.135 157.530 156.135 151.750 152.635 157.400 159.385
Low 158.000 156.000 154.550 156.750 157.000 153.900 147.100 147.000 144.575 145.400 151.930 154.100
Close/Last 158.000 156.750 157.100 162.750 161.650 156.885 154.150 150.680 146.575 151.600 156.985 156.930

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