MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		24	36	39	41	42	42	45	45	45	45	45
Closed Higher		13	23	19	22	19	22	26	28	27	22	24
Exceeded High		12	18	14	18	14	19	26	24	23	21	15
Scenario Percentage		92%	78%	74%	82%	74%	86%	100%	86%	85%	95%	63%
Avg Max Increase		3.90%	3.80%	4.04%	4.32%	3.84%	4.88%	5.05%	5.90%	6.41%	5.83%	3.71%
Max Increase		6.75%	8.60%	10.67%	8.83%	10.43%	10.55%	17.01%	16.55%	21.46%	21.34%	11.90%
Avg Days To Max Increase		17	19	14	21	19	19	16	18	16	13	16
Avg Max Decline		-0.93%	-1.68%	-1.28%	-1.57%	-1.00%	-1.43%	-1.11%	-1.58%	-1.92%	-1.56%	-0.47%
Max Decline		-2.60%	-4.76%	-4.98%	-9.65%	-3.19%	-4.84%	-6.22%	-5.66%	-5.23%	-4.62%	-1.82%
Avg Days to Max Decline		9	12	7	9	7	9	9	10	9	6	2
2016 Contract Condition						Yes		Yes		Yes
Action						No		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		24	36	39	41	42	42	45	45	45	45	45
Closed Lower		11	13	18	19	23	19	19	17	18	23	21
Penetrated Low		9	9	11	17	17	12	11	14	13	18	11
Scenario Percentage		82%	69%	61%	89%	74%	63%	58%	82%	72%	78%	52%
Avg Max Decline		5.47%	6.09%	4.34%	4.93%	5.95%	6.70%	7.05%	7.00%	8.42%	7.19%	4.33%
Max Decline		9.18%	15.64%	13.50%	16.11%	18.56%	17.50%	16.54%	17.19%	18.27%	17.99%	7.25%
Avg Days To Max Decline		14	16	11	17	15	18	21	20	21	14	13
Avg Max Increase		-1.36%	-1.39%	-1.20%	-1.63%	-1.31%	-1.31%	-1.35%	-1.39%	-0.86%	-1.50%	-0.67%
Max Increase		-4.57%	-5.64%	-3.14%	-10.99%	-4.77%	-5.38%	-3.09%	-5.49%	-3.22%	-7.21%	-1.30%
Avg Days to Max Increase		8	7	10	11	10	8	7	6	6	6	3
2016 Contract Condition		Yes	Yes	Yes	Yes		Yes		Yes		Yes	Yes
Action		Yes	Yes	Yes	Yes		Yes		Yes		Yes	Not Yet
High	212.450	212.430	205.480	198.750	188.680	183.780	180.330	164.900	166.080	158.150	165.885	156.500
Low	207.900	201.250	194.000	183.000	164.985	163.400	157.500	142.650	148.135	146.550	149.580	138.580
Close/Last	212.000	201.500	195.580	187.000	165.580	179.580	162.485	163.850	155.830	158.050	155.250	140.430