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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Higher   21 22 28 31 26 21 22 25 19 24 25
Exceeded High   19 18 27 29 21 18 19 19 16 22 20
Scenario Percentage   90% 82% 96% 94% 81% 86% 86% 76% 84% 92% 80%
Avg Max Increase   2.95% 3.67% 4.41% 4.52% 4.16% 5.55% 7.49% 6.73% 8.00% 7.06% 4.31%
Max Increase   6.97% 8.67% 19.17% 12.63% 14.13% 15.89% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase   19 16 18 16 17 18 19 15 21 15 14
Avg Max Decline   -1.62% -0.82% -1.35% -0.81% -1.23% -1.58% -1.34% -1.54% -2.28% -1.78% -1.00%
Max Decline   -6.31% -3.36% -4.06% -4.32% -3.95% -6.96% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline   10 7 7 8 8 7 6 8 14 11 3
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   43 44 44 44 44 44 45 45 45 45 45
Closed Lower   20 21 16 12 18 23 22 20 25 21 19
Penetrated Low   15 14 12 7 15 16 19 15 18 16 10
Scenario Percentage   75% 67% 75% 58% 83% 70% 86% 75% 72% 76% 53%
Avg Max Decline   4.47% 5.07% 5.46% 5.46% 5.48% 6.85% 6.21% 6.87% 6.31% 6.08% 3.06%
Max Decline   17.36% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 7.32%
Avg Days To Max Decline   15 14 16 19 20 20 18 17 18 10 9
Avg Max Increase   -0.73% -0.79% -1.03% -1.78% -1.45% -0.74% -1.41% -1.40% -1.42% -1.64% -1.04%
Max Increase   -2.35% -2.07% -3.29% -3.40% -3.97% -2.22% -5.21% -3.01% -3.58% -4.35% -7.13%
Avg Days to Max Increase   3 4 7 12 7 6 10 10 5 7 3
2014 Contract Condition     Yes                  
Action     Yes                  
High 126.600 127.480 128.485 128.100 128.325 132.825 133.325 135.750 136.575 140.900 153.030 160.250
Low 124.200 124.700 126.650 124.950 126.250 127.530 128.885 131.930 131.930 135.950 138.450 146.575
Close/Last 125.800 127.150 126.930 127.400 127.930 129.825 132.635 134.550 136.075 138.600 150.075 157.930

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