MRCI's ScenarioSM Study

ScenarioSM Study for February Live Cattle(CME) as of Jan 01, 2019
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		43	44	45	45	45	45	45	45	45	45	45
Closed Higher		21	22	22	26	30	17	26	28	27	26	24
Exceeded High		19	17	19	25	22	16	24	17	23	23	17
Scenario Percentage		90%	77%	86%	96%	73%	94%	92%	61%	85%	88%	71%
Avg Max Increase		5.03%	5.09%	5.61%	6.15%	4.04%	4.18%	4.76%	4.76%	5.86%	6.76%	4.66%
Max Increase		20.95%	13.59%	24.14%	28.67%	14.74%	14.40%	14.77%	13.79%	14.42%	15.29%	8.50%
Avg Days To Max Increase		14	17	22	21	18	15	20	18	18	17	16
Avg Max Decline		-0.95%	-1.24%	-1.50%	-1.23%	-2.17%	-1.31%	-1.76%	-1.52%	-2.02%	-1.82%	-0.87%
Max Decline		-2.60%	-4.56%	-4.69%	-5.28%	-8.02%	-3.25%	-8.32%	-3.73%	-7.80%	-7.68%	-4.16%
Avg Days to Max Decline		7	11	13	9	12	10	13	10	7	13	3
2018 Contract Condition		Yes	Yes					Yes	Yes			Yes
Action		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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		43	44	45	45	45	45	45	45	45	45	45
Closed Lower		21	22	23	19	15	28	19	16	18	19	21
Penetrated Low		16	14	14	16	13	20	15	10	13	11	11
Scenario Percentage		76%	64%	61%	84%	87%	71%	79%	63%	72%	58%	52%
Avg Max Decline		4.50%	4.12%	5.61%	4.68%	6.33%	6.06%	4.88%	5.21%	8.29%	9.82%	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	20	16	14	18	12	14	17	14
Avg Max Increase		-0.69%	-1.07%	-1.53%	-1.91%	-1.73%	-1.35%	-2.90%	-1.66%	-1.20%	-1.26%	-1.19%
Max Increase		-1.90%	-2.37%	-4.08%	-4.18%	-3.98%	-3.44%	-9.53%	-4.22%	-4.48%	-3.54%	-4.21%
Avg Days to Max Increase		7	7	8	14	4	9	11	10	5	6	5
2018 Contract Condition				Yes	Yes	Yes	Yes			Yes	Yes
Action				Yes	Yes	Yes	No			Yes	Yes
High	103.950	109.550	119.530	121.750	122.750	120.450	117.730	120.635	129.900	131.950	125.050	126.750
Low	99.800	102.750	106.230	113.980	112.450	113.280	109.480	112.300	116.835	122.650	117.585	116.250
Close/Last	103.780	107.430	119.430	118.900	116.280	115.000	112.350	118.635	129.550	124.980	121.550	123.850