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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 43 44 44 44 44 45 45 45 45 45
Closed Higher   20 22 28 31 26 21 22 25 19 23 24
Exceeded High   18 18 27 29 21 18 19 19 16 21 20
Scenario Percentage   90% 82% 96% 94% 81% 86% 86% 76% 84% 91% 83%
Avg Max Increase   3.06% 3.67% 4.31% 4.57% 4.73% 5.99% 7.88% 6.50% 7.13% 7.07% 4.35%
Max Increase   6.97% 8.67% 19.17% 12.63% 16.50% 15.89% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase   19 16 18 16 17 18 20 14 20 14 14
Avg Max Decline   -1.70% -0.82% -1.34% -0.85% -1.21% -1.56% -1.29% -1.59% -2.22% -1.75% -1.00%
Max Decline   -6.31% -3.36% -4.06% -4.32% -3.95% -6.96% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline   10 7 8 8 8 6 6 8 14 11 3
2013 Contract Condition     Yes   Yes           Yes  
Action     Yes   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 43 44 44 44 44 45 45 45 45 45
Closed Lower   20 20 16 12 18 23 22 20 25 22 20
Penetrated Low   15 13 12 7 15 16 19 15 18 17 10
Scenario Percentage   75% 65% 75% 58% 83% 70% 86% 75% 72% 77% 50%
Avg Max Decline   4.47% 5.34% 5.46% 5.46% 5.48% 6.85% 6.21% 6.87% 6.31% 6.39% 3.06%
Max Decline   17.36% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 7.32%
Avg Days To Max Decline   15 14 16 19 20 20 18 17 18 12 9
Avg Max Increase   -0.73% -0.78% -1.03% -1.78% -1.45% -0.74% -1.41% -1.40% -1.42% -1.58% -1.04%
Max Increase   -2.35% -2.07% -3.29% -3.40% -3.97% -2.22% -5.21% -3.01% -3.58% -4.35% -7.13%
Avg Days to Max Increase   3 4 7 12 7 6 10 10 5 7 3
2013 Contract Condition   Yes   Yes   Yes Yes Yes Yes Yes   Yes
Action   No   Yes   Yes Yes Yes Yes No   Yes
High 133.500 133.200 131.900 131.530 133.135 132.325 129.550 126.480 125.250 124.130 123.130 122.950
Low 131.180 128.650 129.000 128.780 129.700 124.750 124.085 121.450 119.900 117.835 118.030 120.800
Close/Last 132.500 129.180 130.250 130.135 130.200 129.325 125.750 125.200 122.550 120.450 122.030 121.450

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