MRCI's ScenarioSM Study

ScenarioSM Study for September Feeder Cattle(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		15	33	39	39	42	42	43	43	43	43	43
Closed Higher		7	19	25	27	25	19	27	24	26	27	23
Exceeded High		6	17	25	24	18	17	20	19	24	23	13
Scenario Percentage		86%	89%	100%	89%	72%	89%	74%	79%	92%	85%	57%
Avg Max Increase		4.39%	4.88%	4.88%	4.95%	6.34%	5.93%	6.51%	7.34%	5.66%	5.11%	4.48%
Max Increase		9.04%	11.41%	14.86%	16.98%	13.74%	23.29%	15.76%	15.98%	10.82%	13.26%	13.04%
Avg Days To Max Increase		14	19	15	15	18	17	18	22	16	13	15
Avg Max Decline		-0.85%	-0.88%	-0.65%	-1.07%	-1.20%	-0.90%	-0.99%	-1.86%	-1.32%	-1.81%	-0.64%
Max Decline		-2.20%	-3.04%	-6.06%	-3.61%	-4.67%	-2.50%	-3.12%	-6.69%	-4.86%	-6.34%	-1.79%
Avg Days to Max Decline		9	10	7	7	5	6	8	10	8	6	3
2014 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		15	33	39	39	42	42	43	43	43	43	43
Closed Lower		8	14	13	12	17	23	16	19	17	16	19
Penetrated Low		7	9	7	8	15	17	10	11	11	11	10
Scenario Percentage		88%	64%	54%	67%	88%	74%	63%	58%	65%	69%	53%
Avg Max Decline		3.15%	5.50%	5.18%	7.70%	5.71%	5.74%	7.54%	8.47%	6.93%	6.02%	3.27%
Max Decline		11.88%	14.00%	7.91%	16.56%	16.03%	12.14%	29.88%	15.13%	12.06%	22.58%	7.23%
Avg Days To Max Decline		10	17	16	22	17	16	18	18	15	16	12
Avg Max Increase		-1.00%	-0.50%	-1.02%	-1.44%	-0.65%	-1.47%	-1.09%	-1.27%	-1.62%	-2.77%	-1.21%
Max Increase		-2.56%	-1.99%	-2.32%	-5.25%	-1.94%	-8.09%	-3.24%	-4.09%	-5.51%	-8.36%	-5.88%
Avg Days to Max Increase		8	6	6	7	4	8	8	5	8	13	3
2014 Contract Condition												Yes
Action												Not Yet
High	165.780	168.385	167.350	169.550	171.800	176.000	180.900	188.050	198.780	217.530	224.680	222.480
Low	163.635	163.635	163.900	166.400	168.250	169.250	173.300	177.650	187.780	197.580	209.200	208.250
Close/Last	163.635	166.250	167.100	169.385	170.150	174.900	179.080	187.985	198.135	214.000	221.200	218.650