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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, 2015
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   22 34 40 41 42 43 43 43 43 43 43
Closed Higher   15 24 23 18 26 25 26 28 23 24 16
Exceeded High   15 20 16 17 19 21 25 24 20 20 5
Scenario Percentage   100% 83% 70% 94% 73% 84% 96% 86% 87% 83% 31%
Avg Max Increase   5.25% 4.40% 6.20% 5.75% 6.56% 6.45% 6.53% 4.91% 4.98% 3.85% 1.88%
Max Increase   14.30% 16.22% 13.46% 23.93% 16.07% 18.16% 33.08% 12.84% 16.13% 10.84% 4.36%
Avg Days To Max Increase   17 16 18 16 20 20 17 15 10 11 10
Avg Max Decline   -0.37% -0.86% -1.05% -0.76% -1.13% -1.58% -1.22% -1.81% -1.34% -1.35% -0.91%
Max Decline   -3.05% -3.23% -5.05% -1.95% -4.15% -6.17% -3.99% -6.29% -7.19% -8.14% -1.65%
Avg Days to Max Decline   7 6 7 6 11 9 10 7 7 4 3
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes   Yes  
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   22 34 40 41 42 43 43 43 43 43 43
Closed Lower   7 10 17 22 15 18 17 15 20 19 25
Penetrated Low   4 7 13 16 9 12 12 11 12 16 13
Scenario Percentage   57% 70% 76% 73% 60% 67% 71% 73% 60% 84% 52%
Avg Max Decline   3.27% 5.83% 7.01% 5.27% 4.56% 6.47% 6.37% 7.27% 6.97% 4.71% 3.09%
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
2014 Contract Condition                   Yes   Yes
Action                   No   Not Yet
High 166.000 168.900 170.000 174.350 179.580 187.750 197.850 217.530 223.530 220.000 235.950 245.750
Low 164.750 165.400 167.080 167.850 172.235 177.050 187.600 196.950 208.030 206.150 215.700 231.750
Close/Last 165.400 168.900 169.350 173.900 178.000 187.750 197.580 214.030 219.980 215.385 235.050 234.150

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