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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Live 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 22 23 28 29 18 27 25 27 27 27
Exceeded High   17 17 20 26 21 16 25 15 24 24 20
Scenario Percentage   89% 77% 87% 93% 72% 89% 93% 60% 89% 89% 74%
Avg Max Increase   4.91% 5.17% 5.24% 5.99% 3.95% 4.49% 4.53% 5.07% 5.84% 7.67% 4.54%
Max Increase   20.95% 13.59% 24.14% 28.67% 14.74% 14.40% 14.77% 9.77% 14.42% 23.28% 8.94%
Avg Days To Max Increase   15 17 21 19 17 15 21 18 17 16 16
Avg Max Decline   -0.80% -0.99% -1.42% -1.27% -2.01% -1.25% -1.84% -1.35% -1.81% -1.45% -0.81%
Max Decline   -2.14% -3.30% -4.69% -5.28% -8.02% -3.25% -8.32% -3.73% -7.80% -3.89% -4.16%
Avg Days to Max Decline   6 11 12 9 12 9 13 9 7 12 3
2013 Contract Condition       Yes Yes Yes Yes   Yes Yes Yes  
Action       Yes Yes Yes Yes   Yes Yes No  
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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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   19 22 22 17 16 27 18 19 17 18 18
Penetrated Low   14 14 13 14 13 18 14 11 12 9 11
Scenario Percentage   74% 64% 59% 82% 81% 67% 78% 58% 71% 50% 61%
Avg Max Decline   4.25% 4.31% 5.63% 4.49% 4.88% 5.65% 5.08% 5.21% 8.04% 10.48% 3.39%
Max Decline   8.00% 7.25% 13.25% 11.40% 13.21% 19.34% 16.80% 14.48% 16.95% 16.13% 5.22%
Avg Days To Max Decline   16 19 20 19 14 15 19 11 14 17 14
Avg Max Increase   -0.76% -1.02% -1.40% -1.66% -1.32% -1.42% -2.27% -1.62% -1.19% -1.12% -1.19%
Max Increase   -1.90% -2.37% -4.08% -4.18% -3.98% -3.44% -7.75% -4.22% -4.48% -3.54% -4.21%
Avg Days to Max Increase   7 7 8 11 3 9 10 9 5 6 5
2013 Contract Condition   Yes Yes         Yes       Yes
Action   Yes No         No       Yes
High 135.050 135.900 130.000 130.530 130.885 132.550 132.500 133.550 131.800 132.930 134.500 134.325
Low 132.600 127.450 123.800 125.800 125.380 127.280 130.100 127.800 128.100 128.150 129.780 124.800
Close/Last 134.950 127.850 126.400 128.235 129.450 131.280 132.250 128.430 129.885 130.400 132.300 127.630

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