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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, 2015
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   14 36 39 42 43 43 43 43 43 43 43
Closed Higher   7 24 27 26 19 27 26 25 28 24 22
Exceeded High   7 24 24 18 17 20 20 24 23 21 16
Scenario Percentage   100% 100% 89% 69% 89% 74% 77% 96% 82% 88% 73%
Avg Max Increase   5.82% 5.00% 4.68% 6.23% 5.69% 6.47% 7.03% 6.86% 4.75% 4.96% 2.93%
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 19 17 22 22 16 15 12 11
Avg Max Decline   -0.86% -0.62% -1.03% -1.10% -1.06% -1.09% -1.82% -1.37% -2.03% -1.37% -0.60%
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 9 10 9 8 3 3
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   14 36 39 42 43 43 43 43 43 43 43
Closed Lower   7 12 12 16 24 16 17 17 15 19 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% 63% 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
2014 Contract Condition                     Yes  
Action                     Not Yet  
High 165.500 166.930 169.350 170.500 175.400 180.500 188.080 198.930 217.800 224.350 221.750 236.180
Low 165.500 163.735 166.350 167.250 168.550 173.080 177.350 188.000 197.780 208.885 207.500 217.385
Close/Last 165.500 166.400 169.330 169.500 174.800 178.700 187.985 198.430 214.280 221.030 216.730 235.430

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