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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, 2015
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   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   26 23 23 22 21 26 28 22 26 24 27
Exceeded High   22 19 20 17 18 24 22 20 23 17 18
Scenario Percentage   85% 83% 87% 77% 86% 92% 79% 91% 88% 71% 67%
Avg Max Increase   3.65% 3.85% 4.22% 5.76% 5.87% 6.47% 4.53% 5.51% 5.05% 5.50% 2.99%
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   16 17 15 18 21 20 18 18 19 16 17
Avg Max Decline   -1.29% -1.14% -0.99% -1.33% -1.70% -1.40% -2.03% -1.59% -1.59% -1.09% -1.54%
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
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   11 21 22 23 24 19 17 23 19 21 18
Penetrated Low   8 11 15 16 15 15 14 16 17 15 12
Scenario Percentage   73% 52% 68% 70% 63% 79% 82% 70% 89% 71% 67%
Avg Max Decline   6.03% 6.64% 6.45% 5.37% 5.63% 5.15% 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 17 15 11 14 11 13
Avg Max Increase   -1.21% -0.58% -0.77% -1.01% -1.61% -2.33% -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
2014 Contract Condition                 Yes      
Action                 No      
High 131.850 136.350 137.485 141.075 143.000 146.825 155.900 160.200 157.550 165.080 170.000 171.650
Low 129.635 131.500 133.430 136.500 138.350 141.680 145.235 150.825 147.235 154.180 161.825 164.900
Close/Last 131.825 134.350 136.900 140.250 141.985 145.735 153.735 158.100 153.950 163.485 166.050 168.885

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