MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		18	38	42	42	42	44	44	45	45	45	45
Closed Higher		9	15	25	26	27	26	21	27	25	25	26
Exceeded High		8	9	22	25	24	19	18	22	19	23	21
Scenario Percentage		89%	60%	88%	96%	89%	73%	86%	81%	76%	92%	81%
Avg Max Increase		4.26%	4.30%	4.47%	5.01%	5.00%	7.57%	7.21%	6.15%	6.90%	5.86%	4.01%
Max Increase		7.56%	9.20%	11.09%	15.56%	16.73%	22.87%	24.60%	17.35%	14.63%	12.08%	13.56%
Avg Days To Max Increase		18	19	20	16	16	18	18	19	19	16	15
Avg Max Decline		-1.21%	-1.29%	-1.27%	-0.87%	-1.32%	-1.46%	-1.55%	-1.46%	-1.81%	-1.30%	-0.97%
Max Decline		-2.86%	-3.21%	-4.34%	-5.57%	-4.41%	-5.00%	-5.63%	-5.22%	-7.20%	-4.71%	-2.83%
Avg Days to Max Decline		11	8	9	9	8	6	11	11	9	6	3
2017 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		18	38	42	42	42	44	44	45	45	45	45
Closed Lower		8	23	17	16	15	18	23	18	20	20	19
Penetrated Low		8	14	9	9	12	14	19	11	10	14	12
Scenario Percentage		100%	61%	53%	56%	80%	78%	83%	61%	50%	70%	63%
Avg Max Decline		5.15%	5.71%	7.65%	5.70%	6.60%	6.98%	6.21%	7.32%	9.68%	6.06%	2.58%
Max Decline		15.04%	15.87%	15.49%	10.70%	16.93%	18.30%	12.76%	29.63%	15.85%	12.18%	5.65%
Avg Days To Max Decline		16	16	19	16	18	19	16	19	19	15	7
Avg Max Increase		-2.41%	-1.04%	-0.49%	-1.25%	-1.14%	-1.01%	-1.48%	-2.18%	-1.76%	-2.23%	-1.04%
Max Increase		-10.70%	-4.41%	-1.54%	-2.95%	-5.44%	-4.89%	-7.40%	-8.42%	-5.46%	-6.78%	-3.67%
Avg Days to Max Increase		9	8	5	6	5	5	7	8	10	7	3
2017 Contract Condition		Yes	Yes		Yes	Yes				Yes	Yes	Yes
Action		Yes	No		No	Yes				Yes	Yes	Yes
High	129.485	127.680	120.030	124.000	125.380	129.100	126.550	137.000	155.100	163.500	160.900	155.575
Low	125.950	116.450	109.900	112.480	119.550	121.980	120.635	122.850	130.735	144.650	140.780	141.200
Close/Last	127.850	117.100	111.835	123.880	123.380	122.450	126.230	133.750	154.700	152.575	147.930	146.180