MRCI's ScenarioSM Study

ScenarioSM Study for February Live Cattle(CME) as of Oct 20, 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	18	27	27	27	26	24
Exceeded High		19	17	19	25	22	17	25	17	23	23	18
Scenario Percentage		90%	77%	86%	96%	73%	94%	93%	63%	85%	88%	75%
Avg Max Increase		5.03%	4.61%	4.51%	5.10%	3.94%	4.29%	4.61%	4.76%	5.86%	6.49%	4.63%
Max Increase		20.95%	13.59%	9.76%	22.73%	14.74%	14.40%	14.77%	13.79%	14.42%	15.29%	8.50%
Avg Days To Max Increase		14	17	21	20	19	14	19	18	18	18	17
Avg Max Decline		-0.95%	-1.38%	-1.61%	-1.32%	-2.18%	-1.25%	-1.69%	-1.52%	-2.02%	-1.89%	-0.82%
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	12	13	9	13	10	12	10	7	13	3
2019 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes			Yes	Yes
Action			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	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	27	18	17	18	19	21
Penetrated Low		17	14	14	16	13	19	15	11	12	11	11
Scenario Percentage		81%	64%	61%	84%	87%	70%	83%	65%	67%	58%	52%
Avg Max Decline		4.41%	4.12%	5.61%	4.68%	6.33%	5.36%	4.88%	5.14%	8.61%	9.82%	3.39%
Max Decline		8.00%	7.25%	13.25%	11.40%	13.21%	17.59%	16.80%	14.48%	16.95%	16.13%	5.22%
Avg Days To Max Decline		16	19	20	20	16	14	18	12	15	17	14
Avg Max Increase		-0.73%	-1.07%	-1.53%	-1.91%	-1.73%	-1.39%	-2.90%	-1.57%	-1.31%	-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		6	7	8	14	4	10	11	9	5	6	5
2019 Contract Condition		Yes							Yes	Yes
Action		Yes							Yes	No
High	119.335	119.450	115.950	116.600	116.500	119.000	119.000	123.000	123.900	122.900	124.950	127.950
Low	116.000	112.135	109.100	110.230	111.850	113.980	114.050	116.400	120.230	116.680	119.835	121.430
Close/Last	118.280	112.350	113.980	115.150	116.335	116.780	116.885	122.800	122.200	120.500	123.880	124.800