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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Higher   29 32 32 25 23 25 20 24 28 21 26
Exceeded High   27 27 28 20 20 18 17 23 25 18 19
Scenario Percentage   93% 84% 88% 80% 87% 72% 85% 96% 89% 86% 73%
Avg Max Increase   3.60% 5.01% 4.31% 4.96% 5.29% 5.71% 6.20% 6.97% 4.90% 6.74% 4.40%
Max Increase   9.11% 14.10% 14.44% 14.08% 20.35% 13.11% 21.44% 27.14% 13.64% 25.05% 18.26%
Avg Days To Max Increase   20 18 16 18 17 14 16 15 15 14 16
Avg Max Decline   -1.21% -0.52% -1.24% -1.15% -1.29% -1.29% -1.90% -1.85% -1.88% -1.54% -0.64%
Max Decline   -3.97% -1.68% -4.11% -5.63% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline   11 9 8 8 7 7 11 9 6 11 3
2013 Contract Condition     Yes           Yes   Yes Yes
Action     No           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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   43 44 44 44 45 45 45 45 45 45 45
Closed Lower   14 12 12 19 22 20 25 21 16 24 19
Penetrated Low   10 4 10 13 17 14 19 15 14 18 12
Scenario Percentage   71% 33% 83% 68% 77% 70% 76% 71% 88% 75% 63%
Avg Max Decline   4.01% 7.33% 6.29% 6.48% 6.19% 6.33% 5.17% 6.21% 5.25% 6.96% 3.79%
Max Decline   12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 13.56% 23.20% 12.03%
Avg Days To Max Decline   16 16 20 17 17 17 20 19 14 11 11
Avg Max Increase   -0.90% -1.62% -1.59% -0.46% -1.11% -1.17% -1.75% -2.42% -2.27% -1.69% -0.99%
Max Increase   -3.67% -2.70% -3.63% -1.96% -3.76% -2.33% -5.22% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   7 13 6 7 8 8 9 13 9 5 2
2013 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes    
Action   Yes   Yes Yes Yes Yes No   Yes    
High 135.235 134.600 136.700 135.700 133.750 130.930 129.500 127.230 126.200 126.980 129.100 128.400
Low 132.700 131.500 133.050 129.500 128.385 125.800 123.430 121.250 121.600 124.530 124.100 124.300
Close/Last 134.200 133.500 134.235 133.350 130.485 129.530 125.950 123.750 125.680 125.480 126.800 127.850

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