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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 21 22 26 31 30 30 25 23 24 20
Exceeded High   19 17 20 21 27 29 24 21 18 17 13
Scenario Percentage   68% 81% 91% 81% 87% 97% 80% 84% 78% 71% 65%
Avg Max Increase   4.15% 3.30% 3.61% 3.93% 4.82% 4.73% 6.00% 6.36% 8.82% 7.41% 5.32%
Max Increase   11.99% 8.55% 7.95% 9.43% 16.47% 11.90% 17.54% 18.85% 23.53% 21.24% 11.83%
Avg Days To Max Increase   15 14 19 19 19 17 18 17 18 12 15
Avg Max Decline   -1.22% -1.34% -1.50% -1.21% -1.68% -0.98% -1.44% -1.49% -1.37% -1.32% -1.26%
Max Decline   -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.02% -6.83% -3.65%
Avg Days to Max Decline   5 13 10 12 11 9 8 6 7 7 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   14 23 23 18 14 15 15 19 22 21 25
Penetrated Low   12 16 17 13 11 7 12 13 19 15 17
Scenario Percentage   86% 70% 74% 72% 79% 47% 80% 68% 86% 71% 68%
Avg Max Decline   5.05% 5.24% 4.31% 5.62% 6.18% 6.41% 5.92% 8.33% 7.16% 7.00% 4.64%
Max Decline   12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 11.72%
Avg Days To Max Decline   13 14 16 12 15 19 21 21 18 13 13
Avg Max Increase   -1.13% -0.78% -1.07% -1.36% -0.95% -2.13% -2.24% -0.79% -1.62% -1.27% -0.69%
Max Increase   -4.24% -1.67% -3.34% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -3.76% -2.56%
Avg Days to Max Increase   4 7 5 7 5 11 8 5 6 7 4
2014 Contract Condition         Yes           Yes  
Action         Yes           No  
High 125.630 127.680 127.730 129.075 130.200 129.325 130.050 134.735 135.150 139.000 137.735 139.950
Low 122.950 125.030 124.780 125.430 128.000 126.430 127.800 129.300 130.550 133.900 133.930 135.400
Close/Last 125.100 126.100 127.130 128.825 128.600 128.930 129.430 131.500 134.200 137.500 137.200 137.800

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