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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   13 35 38 41 42 42 42 42 42 42 42
Closed Higher   6 23 26 25 18 26 25 24 27 24 21
Exceeded High   6 23 23 17 16 19 19 23 22 21 15
Scenario Percentage   100% 100% 88% 68% 89% 73% 76% 96% 81% 88% 71%
Avg Max Increase   6.38% 5.06% 4.60% 6.15% 5.34% 5.97% 6.71% 6.96% 4.65% 4.96% 2.85%
Max Increase   10.29% 14.38% 15.47% 13.16% 24.60% 17.00% 17.69% 33.68% 13.80% 17.30% 10.87%
Avg Days To Max Increase   22 15 15 18 17 21 22 16 15 12 11
Avg Max Decline   -1.00% -0.60% -1.05% -1.11% -1.08% -1.15% -1.90% -1.32% -1.84% -1.37% -0.63%
Max Decline   -2.63% -5.45% -3.21% -5.02% -2.84% -3.10% -7.28% -4.59% -6.61% -7.38% -2.04%
Avg Days to Max Decline   8 7 7 7 6 10 11 9 7 3 3
2013 Contract Condition   Yes Yes           Yes Yes   Yes
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   13 35 38 41 42 42 42 42 42 42 42
Closed Lower   7 12 12 16 24 16 17 17 15 18 20
Penetrated Low   4 6 8 13 18 10 12 12 11 12 13
Scenario Percentage   57% 50% 67% 81% 75% 63% 71% 71% 73% 67% 65%
Avg Max Decline   5.19% 5.41% 7.85% 5.81% 6.62% 7.51% 6.63% 6.75% 6.97% 6.28% 3.58%
Max Decline   9.34% 8.12% 16.84% 14.96% 30.86% 31.86% 13.63% 12.55% 24.37% 16.33% 8.22%
Avg Days To Max Decline   15 21 22 18 17 13 16 15 13 11 11
Avg Max Increase   -0.07% -1.11% -1.41% -0.64% -1.62% -0.74% -1.21% -1.69% -3.00% -1.16% -1.10%
Max Increase   -0.68% -2.26% -5.30% -1.74% -6.89% -2.02% -4.47% -4.73% -7.79% -4.23% -4.09%
Avg Days to Max Increase   3 7 8 4 9 4 5 9 9 3 2
2013 Contract Condition       Yes Yes Yes Yes Yes     Yes  
Action       Yes Yes Yes Yes No     No  
High 156.500 158.500 164.180 164.750 162.930 158.450 157.500 153.300 154.250 159.280 161.350 164.900
Low 156.500 155.500 157.100 157.950 154.550 148.180 148.750 146.530 147.235 153.530 155.850 156.930
Close/Last 156.500 158.150 163.500 162.550 157.800 155.500 152.400 148.135 153.150 159.100 158.950 164.100

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