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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, 2015
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   40 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 22 22 28 30 19 27 25 27 27 27
Exceeded High   17 17 19 26 22 17 25 15 24 24 20
Scenario Percentage   89% 77% 86% 93% 73% 89% 93% 60% 89% 89% 74%
Avg Max Increase   4.91% 5.17% 5.37% 6.04% 3.91% 4.40% 4.34% 4.55% 5.92% 7.85% 4.58%
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 22 20 18 15 21 18 17 17 16
Avg Max Decline   -0.80% -0.99% -1.48% -1.30% -1.98% -1.26% -1.83% -1.46% -1.86% -1.36% -0.89%
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 13 10 12 10 14 10 7 12 3
2014 Contract Condition         Yes Yes Yes Yes Yes Yes Yes Yes
Action         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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   40 44 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 23 17 15 26 18 19 17 18 18
Penetrated Low   15 15 13 14 12 18 14 11 12 9 11
Scenario Percentage   75% 68% 57% 82% 80% 69% 78% 58% 71% 50% 61%
Avg Max Decline   4.33% 4.26% 5.63% 4.49% 5.10% 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   17 19 20 19 14 15 19 11 14 17 14
Avg Max Increase   -0.73% -1.02% -1.40% -1.66% -1.43% -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 4 9 10 9 5 6 5
2014 Contract Condition   Yes Yes Yes                
Action   Yes Yes No                
High 135.735 132.900 131.575 129.950 129.050 130.530 132.300 134.030 135.450 134.985 135.600 144.575
Low 130.850 127.780 125.630 124.030 125.400 128.500 128.385 129.780 133.100 131.250 132.100 134.850
Close/Last 132.750 131.150 128.600 127.230 128.780 129.950 131.650 133.800 134.200 134.250 134.635 141.680

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