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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, 2016
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   25 23 24 22 22 25 28 21 25 25 27
Exceeded High   21 19 21 17 19 23 22 20 22 17 18
Scenario Percentage   84% 83% 88% 77% 86% 92% 79% 95% 88% 68% 67%
Avg Max Increase   3.79% 3.85% 4.15% 5.76% 5.65% 6.73% 4.53% 5.51% 5.24% 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 21 18 18 19 16 17
Avg Max Decline   -1.17% -1.14% -1.07% -1.33% -1.65% -1.46% -2.03% -1.59% -1.62% -1.09% -1.54%
Max Decline   -3.07% -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 12 8 7 9 9 6 6
2015 Contract Condition       Yes   Yes         Yes  
Action       Yes   Yes         No  
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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   12 21 21 23 23 20 17 24 20 20 18
Penetrated Low   9 11 14 15 15 16 14 17 18 14 12
Scenario Percentage   75% 52% 67% 65% 65% 80% 82% 71% 90% 70% 67%
Avg Max Decline   5.82% 6.64% 6.48% 5.34% 5.63% 5.24% 6.11% 7.04% 5.24% 6.80% 5.20%
Max Decline   11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 17.43% 15.03% 10.05%
Avg Days To Max Decline   23 19 16 17 18 18 16 10 14 11 14
Avg Max Increase   -1.09% -0.58% -0.76% -0.99% -1.61% -2.33% -1.88% -1.11% -2.51% -2.07% -0.63%
Max Increase   -3.55% -1.39% -2.08% -3.46% -5.68% -5.92% -4.54% -3.45% -10.54% -7.24% -1.83%
Avg Days to Max Increase   7 9 5 9 7 14 7 5 10 8 3
2015 Contract Condition   Yes Yes   Yes   Yes Yes Yes Yes   Yes
Action   Yes No   No   Yes Yes Yes Yes   Yes
High 160.050 157.550 148.325 152.635 152.750 155.985 156.825 155.400 151.025 146.700 144.735 142.100
Low 144.350 143.430 142.000 144.950 147.500 149.700 151.500 145.930 141.930 129.800 128.100 125.500
Close/Last 154.700 148.200 145.885 151.700 150.485 154.180 151.900 147.450 145.430 130.930 141.735 130.050

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