MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		14	34	38	39	39	41	41	42	42	42	42
Closed Higher		7	13	22	25	27	24	19	26	23	25	26
Exceeded High		6	8	20	24	23	17	16	21	18	23	21
Scenario Percentage		86%	62%	91%	96%	85%	71%	84%	81%	78%	92%	81%
Avg Max Increase		4.38%	4.57%	4.56%	5.28%	4.96%	6.71%	6.31%	5.88%	6.99%	5.96%	4.01%
Max Increase		7.56%	9.20%	11.09%	15.56%	16.73%	17.28%	24.60%	17.35%	14.63%	12.08%	13.56%
Avg Days To Max Increase		21	17	20	16	16	16	19	19	19	16	15
Avg Max Decline		-1.54%	-1.23%	-1.19%	-0.79%	-1.33%	-1.42%	-1.22%	-1.48%	-1.83%	-1.20%	-0.97%
Max Decline		-2.86%	-3.21%	-4.34%	-5.57%	-4.41%	-5.00%	-2.71%	-5.22%	-7.20%	-4.71%	-2.83%
Avg Days to Max Decline		15	6	9	9	8	6	12	11	9	6	3
2013 Contract Condition			Yes		Yes						Yes	Yes
Action			Yes		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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		14	34	38	39	39	41	41	42	42	42	42
Closed Lower		6	21	16	14	12	17	22	16	19	17	16
Penetrated Low		6	13	8	8	9	14	18	10	9	11	11
Scenario Percentage		100%	62%	50%	57%	75%	82%	82%	63%	47%	65%	69%
Avg Max Decline		5.20%	5.54%	7.17%	5.08%	7.34%	6.21%	5.95%	7.61%	9.89%	6.25%	2.38%
Max Decline		15.04%	15.87%	15.49%	8.18%	16.93%	18.30%	12.76%	29.63%	15.85%	12.18%	5.65%
Avg Days To Max Decline		16	16	19	14	19	18	15	19	19	14	6
Avg Max Increase		-1.02%	-0.78%	-0.36%	-1.04%	-1.42%	-0.67%	-1.51%	-1.55%	-1.35%	-2.07%	-0.80%
Max Increase		-2.00%	-2.35%	-1.05%	-2.29%	-5.44%	-2.00%	-7.40%	-4.29%	-3.03%	-6.78%	-2.98%
Avg Days to Max Increase		8	7	5	6	6	4	8	8	11	7	3
2013 Contract Condition		Yes		Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes		No		Yes	Yes	Yes	Yes	No
High	156.600	158.650	158.350	157.200	163.300	164.050	161.075	155.825	154.485	150.100	150.780	154.300
Low	155.650	154.350	154.800	153.800	155.500	155.350	152.485	145.250	144.500	142.300	143.100	149.550
Close/Last	156.600	155.250	156.250	156.000	162.180	160.250	154.885	152.250	148.900	144.325	149.450	153.430