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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 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 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   29 20 22 27 31 29 28 26 22 23 21
Exceeded High   20 16 20 21 26 28 22 22 18 16 14
Scenario Percentage   69% 80% 91% 78% 84% 97% 79% 85% 82% 70% 67%
Avg Max Increase   4.15% 3.45% 3.72% 3.77% 4.74% 4.31% 6.23% 6.27% 8.64% 7.66% 5.13%
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   16 14 19 20 19 17 19 17 17 13 15
Avg Max Decline   -1.34% -1.34% -1.52% -1.23% -1.75% -1.05% -1.57% -1.46% -1.65% -1.42% -1.18%
Max Decline   -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.69% -6.83% -3.65%
Avg Days to Max Decline   6 13 11 12 11 9 8 6 8 7 3
2016 Contract Condition         Yes   Yes   Yes     Yes
Action         No   Yes   Yes     Not Yet
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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   13 24 23 17 14 16 17 19 23 22 24
Penetrated Low   12 17 17 12 11 8 13 13 20 15 17
Scenario Percentage   92% 71% 74% 71% 79% 50% 76% 68% 87% 68% 71%
Avg Max Decline   5.75% 5.47% 4.30% 5.66% 6.48% 6.93% 5.79% 8.33% 7.21% 6.91% 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   15 15 15 12 16 20 21 21 18 13 13
Avg Max Increase   -1.20% -0.79% -1.50% -1.34% -1.06% -2.14% -2.19% -0.79% -1.57% -1.76% -0.69%
Max Increase   -4.24% -1.67% -8.42% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -8.48% -2.56%
Avg Days to Max Increase   4 7 6 7 5 10 8 5 6 7 4
2016 Contract Condition   Yes Yes Yes   Yes   Yes   Yes Yes  
Action   Yes Yes Yes   Yes   No   Yes Yes  
High 147.700 146.750 141.650 136.850 135.150 133.030 128.450 128.575 126.600 131.350 124.900 124.680
Low 143.350 137.950 133.000 123.200 123.600 119.530 115.480 118.780 119.050 122.280 113.900 114.900
Close/Last 143.680 139.735 135.575 124.650 132.780 123.780 127.800 123.430 126.180 124.030 114.930 121.100

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