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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, 2016
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 31 31 25 25 25 21 24 29 20 26
Exceeded High   26 26 27 20 22 18 18 23 26 18 19
Scenario Percentage   90% 84% 87% 80% 88% 72% 86% 96% 90% 90% 73%
Avg Max Increase   3.65% 4.96% 4.07% 4.72% 5.11% 5.98% 6.60% 7.16% 4.82% 6.74% 4.58%
Max Increase   9.11% 14.10% 11.76% 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 18 16 17 16 15 14 16
Avg Max Decline   -1.26% -0.51% -1.26% -1.16% -1.41% -1.26% -1.86% -1.94% -2.13% -1.54% -0.64%
Max Decline   -3.97% -1.65% -4.11% -5.63% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline   9 9 8 8 8 7 10 9 6 11 3
2015 Contract Condition   Yes       Yes   Yes        
Action   No       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 13 13 19 20 20 24 21 15 25 19
Penetrated Low   10 5 11 12 16 13 19 15 14 19 13
Scenario Percentage   71% 38% 85% 63% 80% 65% 79% 71% 93% 76% 68%
Avg Max Decline   4.01% 7.52% 6.09% 6.73% 6.21% 6.41% 5.17% 5.99% 6.13% 7.44% 3.79%
Max Decline   12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 14.56% 23.20% 12.03%
Avg Days To Max Decline   16 18 21 18 17 17 20 19 15 11 10
Avg Max Increase   -0.90% -1.72% -1.48% -0.34% -1.10% -1.13% -1.75% -2.55% -2.40% -1.65% -0.90%
Max Increase   -3.67% -2.70% -3.63% -1.34% -3.76% -2.33% -5.22% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   7 12 7 6 6 8 9 13 10 5 2
2015 Contract Condition     Yes Yes Yes   Yes   Yes Yes Yes Yes
Action     Yes Yes No   No   Yes Yes Yes Yes
High 157.430 160.400 160.150 157.300 147.635 152.450 152.400 154.850 156.150 154.485 149.800 144.430
Low 151.250 153.885 144.200 142.800 141.280 144.300 146.000 148.635 150.250 143.300 139.650 124.680
Close/Last 154.250 159.500 154.030 147.200 145.080 151.200 149.680 152.930 150.700 145.930 143.200 124.680

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