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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Feeder 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   15 33 39 39 42 42 43 43 43 43 43
Closed Higher   7 19 25 27 25 19 27 24 26 27 23
Exceeded High   6 17 25 24 18 17 20 19 24 23 13
Scenario Percentage   86% 89% 100% 89% 72% 89% 74% 79% 92% 85% 57%
Avg Max Increase   4.39% 4.88% 4.88% 4.95% 6.34% 5.93% 6.51% 7.34% 5.66% 5.11% 4.48%
Max Increase   9.04% 11.41% 14.86% 16.98% 13.74% 23.29% 15.76% 15.98% 10.82% 13.26% 13.04%
Avg Days To Max Increase   14 19 15 15 18 17 18 22 16 13 15
Avg Max Decline   -0.85% -0.88% -0.65% -1.07% -1.20% -0.90% -0.99% -1.86% -1.32% -1.81% -0.64%
Max Decline   -2.20% -3.04% -6.06% -3.61% -4.67% -2.50% -3.12% -6.69% -4.86% -6.34% -1.79%
Avg Days to Max Decline   9 10 7 7 5 6 8 10 8 6 3
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes  
Action   Yes Yes Yes Yes Yes Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   15 33 39 39 42 42 43 43 43 43 43
Closed Lower   8 14 13 12 17 23 16 19 17 16 19
Penetrated Low   7 9 7 8 15 17 10 11 11 11 10
Scenario Percentage   88% 64% 54% 67% 88% 74% 63% 58% 65% 69% 53%
Avg Max Decline   3.15% 5.50% 5.18% 7.70% 5.71% 5.74% 7.54% 8.47% 6.93% 6.02% 3.27%
Max Decline   11.88% 14.00% 7.91% 16.56% 16.03% 12.14% 29.88% 15.13% 12.06% 22.58% 7.23%
Avg Days To Max Decline   10 17 16 22 17 16 18 18 15 16 12
Avg Max Increase   -1.00% -0.50% -1.02% -1.44% -0.65% -1.47% -1.09% -1.27% -1.62% -2.77% -1.21%
Max Increase   -2.56% -1.99% -2.32% -5.25% -1.94% -8.09% -3.24% -4.09% -5.51% -8.36% -5.88%
Avg Days to Max Increase   8 6 6 7 4 8 8 5 8 13 3
2014 Contract Condition                       Yes
Action                       Not Yet
High 165.780 168.385 167.350 169.550 171.800 176.000 180.900 188.050 198.780 217.530 224.680 222.480
Low 163.635 163.635 163.900 166.400 168.250 169.250 173.300 177.650 187.780 197.580 209.200 208.250
Close/Last 163.635 166.250 167.100 169.385 170.150 174.900 179.080 187.985 198.135 214.000 221.200 218.650

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