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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   21 33 39 40 41 42 42 42 42 42 42
Closed Higher   14 23 22 17 25 24 25 27 23 23 16
Exceeded High   14 19 15 16 18 20 24 23 20 19 5
Scenario Percentage   100% 83% 68% 94% 72% 83% 96% 85% 87% 83% 31%
Avg Max Increase   5.39% 4.31% 6.08% 5.41% 6.05% 6.12% 6.61% 4.81% 4.98% 3.85% 1.90%
Max Increase   14.30% 16.22% 13.46% 23.93% 16.07% 18.16% 33.08% 12.84% 16.13% 10.84% 4.44%
Avg Days To Max Increase   16 15 17 15 19 19 16 15 10 11 11
Avg Max Decline   -0.32% -0.86% -1.05% -0.78% -1.18% -1.64% -1.16% -1.62% -1.34% -1.40% -0.91%
Max Decline   -3.05% -3.23% -5.05% -1.95% -4.15% -6.17% -3.99% -5.19% -7.19% -8.14% -1.65%
Avg Days to Max Decline   6 6 8 6 12 10 10 7 7 5 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   21 33 39 40 41 42 42 42 42 42 42
Closed Lower   7 10 17 22 15 18 17 15 19 19 24
Penetrated Low   4 7 13 16 9 12 12 11 12 16 13
Scenario Percentage   57% 70% 76% 73% 60% 67% 71% 73% 63% 84% 54%
Avg Max Decline   3.27% 5.83% 7.01% 5.27% 4.56% 6.47% 6.37% 7.27% 6.97% 4.71% 3.12%
Max Decline   5.69% 16.98% 22.26% 11.39% 10.11% 12.57% 12.22% 25.87% 16.68% 12.76% 7.00%
Avg Days To Max Decline   8 18 16 17 17 17 16 12 13 13 9
Avg Max Increase   -0.84% -1.31% -0.62% -1.25% -0.64% -1.07% -1.63% -2.20% -1.08% -1.73% -0.66%
Max Increase   -1.10% -5.12% -1.94% -6.67% -1.69% -4.01% -4.87% -8.96% -3.73% -7.18% -2.00%
Avg Days to Max Increase   7 4 5 8 3 4 10 9 4 7 2
2013 Contract Condition     Yes Yes Yes Yes Yes     Yes   Yes
Action     Yes Yes Yes Yes No     No   Yes
High 158.400 164.500 165.100 163.530 159.200 158.450 154.450 155.500 160.050 161.400 165.780 169.950
Low 157.250 157.635 159.000 155.150 148.950 149.000 147.735 148.800 155.000 156.530 157.735 164.135
Close/Last 158.400 164.000 163.250 158.900 156.300 153.200 149.735 154.500 160.050 159.735 165.200 164.385

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