MRCI's ScenarioSM Study

ScenarioSM Study for January Feeder Cattle(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		20	31	32	36	36	37	39	39	39	39	39
Closed Higher		12	13	21	22	22	27	19	21	14	23	22
Exceeded High		10	13	17	20	22	21	17	19	11	19	18
Scenario Percentage		83%	100%	81%	91%	100%	78%	89%	90%	79%	83%	82%
Avg Max Increase		5.82%	5.49%	5.38%	4.84%	4.88%	4.31%	4.13%	4.61%	4.20%	4.66%	3.23%
Max Increase		15.76%	23.36%	15.37%	12.51%	10.16%	9.97%	15.07%	12.29%	8.07%	10.33%	7.28%
Avg Days To Max Increase		16	17	20	20	17	16	12	18	15	17	15
Avg Max Decline		-0.81%	-1.25%	-0.82%	-2.40%	-1.02%	-1.64%	-1.20%	-1.55%	-1.49%	-1.81%	-0.63%
Max Decline		-4.25%	-7.28%	-3.95%	-11.41%	-3.46%	-5.68%	-5.73%	-7.29%	-4.34%	-5.38%	-2.57%
Avg Days to Max Decline		6	10	12	10	6	9	8	8	9	10	4
2016 Contract Condition			Yes		Yes					Yes		Yes
Action			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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		20	31	32	36	36	37	39	39	39	39	39
Closed Lower		7	18	11	14	14	10	20	17	25	16	16
Penetrated Low		5	14	5	6	10	7	13	17	16	12	9
Scenario Percentage		71%	78%	45%	43%	71%	70%	65%	100%	64%	75%	56%
Avg Max Decline		5.42%	3.74%	5.38%	5.62%	6.50%	5.74%	4.56%	5.66%	6.49%	7.03%	3.87%
Max Decline		6.89%	11.95%	8.92%	10.44%	10.88%	16.12%	15.43%	15.48%	14.68%	13.88%	8.52%
Avg Days To Max Decline		18	18	20	20	17	13	15	16	17	15	15
Avg Max Increase		-0.13%	-1.45%	-0.41%	-0.66%	-1.48%	-2.14%	-1.94%	-1.93%	-2.18%	-1.83%	-1.11%
Max Increase		-0.22%	-6.97%	-0.94%	-1.76%	-4.42%	-6.75%	-6.22%	-12.09%	-4.32%	-6.26%	-4.12%
Avg Days to Max Increase		3	7	4	10	8	11	14	8	11	8	4
2016 Contract Condition		Yes		Yes		Yes	Yes	Yes	Yes		Yes
Action		No		No		Yes	Yes	Yes	Yes		Yes
High	210.000	202.500	209.500	210.500	214.030	214.150	208.050	202.780	191.800	187.500	184.385	167.850
Low	201.000	190.050	194.500	197.980	205.550	203.680	196.400	184.885	166.530	164.050	158.050	143.200
Close/Last	201.100	194.200	207.930	205.550	212.650	204.150	198.530	189.030	167.280	183.200	162.750	166.900