MRCI's ScenarioSM Study

ScenarioSM Study for May Feeder Cattle(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		21	33	36	38	39	39	42	42	42	42	42
Closed Higher		11	21	19	20	17	20	24	27	25	20	23
Exceeded High		10	16	14	16	13	18	24	23	21	19	14
Scenario Percentage		91%	76%	74%	80%	76%	90%	100%	85%	84%	95%	61%
Avg Max Increase		4.08%	3.66%	4.04%	4.35%	3.97%	4.99%	5.26%	5.90%	6.54%	5.96%	3.60%
Max Increase		6.75%	8.60%	10.67%	8.83%	10.43%	10.55%	17.01%	16.55%	21.46%	20.48%	11.90%
Avg Days To Max Increase		16	18	14	22	18	19	16	17	15	13	15
Avg Max Decline		-0.86%	-1.41%	-1.28%	-1.75%	-0.94%	-1.45%	-1.12%	-1.60%	-1.98%	-1.65%	-0.50%
Max Decline		-2.45%	-4.48%	-4.98%	-9.65%	-3.19%	-4.84%	-6.22%	-5.66%	-5.23%	-4.62%	-1.82%
Avg Days to Max Decline		9	11	7	11	6	10	9	10	9	7	2
2013 Contract Condition				Yes		Yes		Yes
Action				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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		21	33	36	38	39	39	42	42	42	42	42
Closed Lower		10	12	15	18	22	18	18	15	17	22	19
Penetrated Low		8	8	10	16	16	11	10	12	13	17	11
Scenario Percentage		80%	67%	67%	89%	73%	61%	56%	80%	76%	77%	58%
Avg Max Decline		5.01%	4.90%	3.51%	4.93%	5.83%	6.20%	6.60%	7.17%	8.42%	6.98%	4.23%
Max Decline		7.50%	13.63%	13.50%	16.11%	18.56%	17.50%	16.54%	17.19%	18.27%	17.99%	7.25%
Avg Days To Max Decline		13	15	12	17	15	18	21	20	21	13	12
Avg Max Increase		-1.28%	-1.36%	-1.23%	-1.04%	-1.10%	-1.29%	-1.19%	-1.52%	-0.86%	-1.54%	-0.67%
Max Increase		-4.57%	-5.64%	-3.14%	-2.46%	-3.22%	-5.38%	-3.09%	-5.49%	-3.22%	-7.21%	-1.30%
Avg Days to Max Increase		9	8	10	10	10	8	7	7	6	6	3
2013 Contract Condition		Yes	Yes		Yes		Yes		Yes	Yes	Yes	Yes
Action		Yes	No		Yes		Yes		Yes	Yes	Yes	Yes
High	163.500	164.000	158.700	155.800	156.780	155.950	153.550	159.700	159.800	155.735	149.180	147.850
Low	163.000	154.500	147.100	150.530	152.200	151.150	150.075	151.030	149.450	145.400	138.530	137.650
Close/Last	163.000	159.000	151.750	155.250	152.200	153.150	151.635	158.080	155.030	148.050	145.075	139.550