MRCI's ScenarioSM Study

ScenarioSM Study for January Feeder Cattle(CME) as of Jan 01, 2018
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		21	32	33	37	37	38	40	40	40	40	40
Closed Higher		12	14	21	23	23	27	19	21	14	24	23
Exceeded High		10	13	17	20	23	21	17	19	11	20	19
Scenario Percentage		83%	93%	81%	87%	100%	78%	89%	90%	79%	83%	83%
Avg Max Increase		5.82%	5.49%	5.38%	4.84%	4.80%	4.31%	4.13%	4.61%	4.20%	4.52%	3.15%
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%	-1.24%	-1.64%	-1.20%	-1.55%	-1.49%	-1.94%	-0.73%
Max Decline		-4.25%	-7.28%	-3.95%	-11.41%	-5.98%	-5.68%	-5.73%	-7.29%	-4.34%	-5.38%	-2.57%
Avg Days to Max Decline		6	10	12	10	7	9	8	8	9	10	4
2017 Contract Condition			Yes		Yes	Yes					Yes	Yes
Action			No		No	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		21	32	33	37	37	38	40	40	40	40	40
Closed Lower		8	18	12	14	14	11	21	18	26	16	16
Penetrated Low		6	14	6	6	10	8	14	18	16	12	8
Scenario Percentage		75%	78%	50%	43%	71%	73%	67%	100%	62%	75%	50%
Avg Max Decline		6.12%	3.74%	5.27%	5.62%	6.50%	6.51%	5.31%	5.64%	6.49%	7.03%	3.69%
Max Decline		9.60%	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		20	18	20	20	17	15	15	16	17	15	13
Avg Max Increase		-0.92%	-1.45%	-1.47%	-0.66%	-1.48%	-2.59%	-1.78%	-2.00%	-2.18%	-1.83%	-0.73%
Max Increase		-4.87%	-6.97%	-6.79%	-1.76%	-4.42%	-6.75%	-6.22%	-12.09%	-4.32%	-6.26%	-3.36%
Avg Days to Max Increase		4	7	5	10	8	11	13	8	11	8	3
2017 Contract Condition		Yes		Yes			Yes	Yes	Yes	Yes
Action		Yes		Yes			Yes	Yes	Yes	No
High	147.430	146.900	150.150	144.700	140.050	137.030	137.030	139.400	129.985	120.450	128.735	132.000
Low	145.000	134.000	138.530	129.430	129.350	124.980	127.100	126.380	116.135	110.650	114.950	122.930
Close/Last	145.000	143.300	143.680	131.150	134.930	135.180	131.780	130.350	116.835	116.000	128.430	130.450