MRCI's ScenarioSM Study

ScenarioSM Study for February Live Cattle(CME) as of Jan 01, 2016
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		41	44	45	45	45	45	45	45	45	45	45
Closed Higher		20	22	22	29	31	19	27	26	27	27	26
Exceeded High		18	17	19	27	23	17	25	16	23	24	19
Scenario Percentage		90%	77%	86%	93%	74%	89%	93%	62%	85%	89%	73%
Avg Max Increase		4.91%	5.48%	5.75%	5.96%	3.95%	4.40%	4.44%	4.52%	5.95%	7.80%	4.55%
Max Increase		20.95%	13.59%	24.14%	28.67%	14.74%	14.40%	14.77%	9.77%	14.42%	23.28%	8.94%
Avg Days To Max Increase		15	18	23	20	18	15	21	18	18	16	16
Avg Max Decline		-0.83%	-0.97%	-1.52%	-1.33%	-2.13%	-1.26%	-1.83%	-1.39%	-1.96%	-1.36%	-0.89%
Max Decline		-2.14%	-3.30%	-4.69%	-5.28%	-8.02%	-3.25%	-8.32%	-3.73%	-7.80%	-3.89%	-4.16%
Avg Days to Max Decline		6	11	13	10	12	10	14	10	7	12	3
2015 Contract Condition		Yes	Yes	Yes	Yes	Yes		Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes		Yes	Yes	No

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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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		41	44	45	45	45	45	45	45	45	45	45
Closed Lower		20	22	23	16	14	26	18	18	17	18	19
Penetrated Low		15	15	13	13	12	18	14	11	12	10	11
Scenario Percentage		75%	68%	57%	81%	86%	69%	78%	61%	71%	56%	58%
Avg Max Decline		4.33%	4.26%	5.63%	4.23%	5.10%	5.65%	5.08%	5.21%	8.04%	10.36%	3.39%
Max Decline		8.00%	7.25%	13.25%	11.40%	13.21%	19.34%	16.80%	14.48%	16.95%	16.13%	5.22%
Avg Days To Max Decline		17	19	20	19	14	15	19	11	14	18	14
Avg Max Increase		-0.73%	-1.02%	-1.40%	-1.78%	-1.43%	-1.42%	-2.27%	-1.62%	-1.19%	-1.21%	-1.19%
Max Increase		-1.90%	-2.37%	-4.08%	-4.18%	-3.98%	-3.44%	-7.75%	-4.22%	-4.48%	-3.54%	-4.21%
Avg Days to Max Increase		7	7	8	12	4	9	10	9	5	6	5
2015 Contract Condition							Yes				Yes	Yes
Action							No				Yes	Not Yet
High	138.000	141.385	143.900	148.030	155.830	159.385	157.580	164.885	169.500	172.750	170.930	166.985
Low	133.780	137.180	139.300	143.250	147.050	150.430	148.800	155.000	161.000	165.550	155.135	148.385
Close/Last	137.800	141.050	143.500	147.700	153.700	157.530	154.600	163.985	166.100	169.235	163.550	154.850