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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Higher   25 23 22 22 21 25 27 22 26 24 27
Exceeded High   21 19 19 17 18 23 21 20 23 17 19
Scenario Percentage   84% 83% 86% 77% 86% 92% 78% 91% 88% 71% 70%
Avg Max Increase   3.59% 4.04% 4.19% 5.44% 5.38% 6.57% 4.53% 5.51% 5.03% 5.61% 2.93%
Max Increase   12.47% 13.33% 21.08% 13.31% 23.89% 27.74% 10.78% 17.67% 16.89% 10.63% 8.00%
Avg Days To Max Increase   15 17 15 17 20 20 17 18 19 15 16
Avg Max Decline   -1.32% -1.14% -0.97% -1.35% -1.66% -1.38% -1.80% -1.59% -1.61% -1.05% -1.46%
Max Decline   -3.93% -4.31% -5.65% -7.18% -3.67% -6.93% -9.56% -7.78% -5.36% -2.91% -6.01%
Avg Days to Max Decline   9 9 7 7 13 7 7 9 10 6 6
2013 Contract Condition             Yes Yes Yes Yes Yes Yes
Action             Yes Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Lower   11 21 23 23 24 20 18 23 19 21 18
Penetrated Low   8 11 15 16 15 16 14 16 17 15 12
Scenario Percentage   73% 52% 65% 70% 63% 80% 78% 70% 89% 71% 67%
Avg Max Decline   6.03% 6.64% 6.45% 5.37% 5.63% 5.43% 5.43% 6.74% 5.31% 6.75% 4.65%
Max Decline   11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 17.43% 15.03% 8.88%
Avg Days To Max Decline   22 19 16 17 18 18 15 11 14 11 13
Avg Max Increase   -1.21% -0.58% -0.77% -1.01% -1.61% -2.22% -1.75% -1.12% -2.04% -2.01% -0.53%
Max Increase   -3.55% -1.39% -2.08% -3.46% -5.68% -5.92% -4.54% -3.45% -5.33% -7.24% -1.55%
Avg Days to Max Increase   6 9 7 9 7 14 6 5 9 8 3
2013 Contract Condition   Yes Yes Yes Yes Yes            
Action   Yes Yes Yes Yes No            
High 137.500 136.680 134.825 132.250 130.680 128.650 128.150 129.300 130.900 132.250 134.700 133.700
Low 134.500 131.700 130.000 126.880 124.850 122.780 124.250 127.350 126.850 127.950 131.325 130.650
Close/Last 135.800 134.325 131.900 130.700 127.350 125.850 127.800 128.385 130.485 131.985 132.735 133.485

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