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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Live Cattle(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 27 31 19 23 26 30 28 28 27 25
Exceeded High   19 25 23 17 22 17 25 25 22 22 20
Scenario Percentage   86% 93% 74% 89% 96% 65% 83% 89% 79% 81% 80%
Avg Max Increase   5.09% 5.53% 3.61% 3.45% 3.54% 4.00% 5.87% 5.89% 7.69% 7.11% 5.01%
Max Increase   22.82% 28.72% 11.79% 10.35% 8.50% 9.13% 15.90% 15.44% 23.63% 23.61% 17.27%
Avg Days To Max Increase   22 21 15 16 20 20 16 20 19 13 14
Avg Max Decline   -1.20% -0.90% -1.63% -1.38% -1.98% -1.31% -1.87% -1.29% -1.75% -1.39% -1.00%
Max Decline   -3.66% -3.41% -7.69% -3.52% -8.67% -3.62% -6.20% -3.48% -4.87% -4.16% -2.90%
Avg Days to Max Decline   10 7 8 16 13 10 10 12 9 7 2
2016 Contract Condition   Yes         Yes   Yes   Yes  
Action   Yes         No   No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 17 14 26 21 19 14 17 17 18 20
Penetrated Low   12 12 12 19 16 11 10 9 13 12 15
Scenario Percentage   57% 71% 86% 73% 76% 58% 71% 53% 76% 67% 75%
Avg Max Decline   5.45% 4.53% 5.31% 5.55% 4.79% 4.32% 6.96% 8.67% 6.31% 7.84% 4.93%
Max Decline   12.45% 12.27% 12.81% 17.84% 15.87% 13.03% 15.83% 14.02% 13.57% 16.04% 11.54%
Avg Days To Max Decline   19 19 13 13 18 13 11 21 18 12 14
Avg Max Increase   -1.23% -1.32% -1.57% -1.03% -2.01% -1.75% -1.08% -1.95% -2.26% -1.48% -1.20%
Max Increase   -4.45% -3.64% -4.22% -4.40% -8.96% -3.38% -4.52% -4.32% -5.34% -4.89% -3.09%
Avg Days to Max Increase   8 9 5 7 11 10 3 12 8 7 4
2016 Contract Condition     Yes Yes Yes Yes   Yes   Yes   Yes
Action     Yes Yes Yes Yes   Yes   No   Yes
High 151.000 155.050 155.100 154.485 149.030 145.330 144.450 142.500 138.950 138.550 138.400 141.900
Low 146.050 149.100 150.850 145.650 140.530 131.280 130.800 127.800 123.050 127.150 128.600 131.030
Close/Last 149.800 153.530 151.280 146.650 143.650 132.575 142.135 132.450 137.985 134.000 136.985 132.930

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