MRCI's ScenarioSM Study

ScenarioSM Study for March 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		18	34	39	42	43	43	45	45	45	45	45
Closed Higher		12	19	22	25	22	23	15	25	27	23	23
Exceeded High		9	14	21	18	16	18	9	22	25	19	14
Scenario Percentage		75%	74%	95%	72%	73%	78%	60%	88%	93%	83%	61%
Avg Max Increase		6.97%	5.17%	4.37%	4.16%	4.21%	5.09%	4.06%	5.95%	5.72%	6.37%	4.79%
Max Increase		15.13%	11.81%	9.73%	9.12%	11.69%	8.82%	5.76%	22.42%	15.82%	16.68%	10.89%
Avg Days To Max Increase		20	19	19	18	15	20	16	17	17	16	16
Avg Max Decline		-0.49%	-2.16%	-0.88%	-1.78%	-1.59%	-1.87%	-1.51%	-1.71%	-1.43%	-1.84%	-0.76%
Max Decline		-1.68%	-10.19%	-2.93%	-5.11%	-5.64%	-9.63%	-4.75%	-5.65%	-8.06%	-8.80%	-3.08%
Avg Days to Max Decline		5	11	9	8	10	10	7	9	6	7	3
2017 Contract Condition			Yes						Yes	Yes		Yes
Action			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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		18	34	39	42	43	43	45	45	45	45	45
Closed Lower		6	15	17	17	21	20	30	19	18	22	21
Penetrated Low		3	7	12	13	12	18	20	14	12	18	12
Scenario Percentage		50%	47%	71%	76%	57%	90%	67%	74%	67%	82%	57%
Avg Max Decline		5.33%	5.16%	6.04%	6.84%	6.26%	5.21%	6.82%	8.13%	7.75%	6.31%	5.79%
Max Decline		7.23%	9.41%	10.51%	16.22%	15.41%	15.42%	17.94%	16.94%	15.28%	12.39%	9.34%
Avg Days To Max Decline		22	18	15	17	12	17	17	16	19	17	18
Avg Max Increase		-1.97%	-0.79%	-1.16%	-1.97%	-0.96%	-1.69%	-1.97%	-1.96%	-1.78%	-1.84%	-0.44%
Max Increase		-5.91%	-1.73%	-4.09%	-5.95%	-3.02%	-10.79%	-4.78%	-7.17%	-4.74%	-6.48%	-2.47%
Avg Days to Max Increase		4	9	8	8	5	7	12	9	8	8	4
2017 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes			Yes
Action		Yes		No	Yes	Yes	Yes	No			Yes
High	139.330	142.530	138.000	134.150	134.600	137.080	128.575	118.500	124.730	127.350	131.750	125.900
Low	134.825	128.550	127.280	122.180	125.500	124.880	114.930	109.085	112.400	120.000	122.335	120.500
Close/Last	139.330	130.300	132.950	132.000	130.575	128.950	115.600	112.280	124.450	125.100	122.780	125.085