MRCI's ScenarioSM Study

ScenarioSM Study for June Live 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		42	45	45	45	45	45	45	45	45	45	45
Closed Higher		28	21	22	26	31	30	30	25	23	24	20
Exceeded High		19	17	20	21	27	29	24	21	18	17	13
Scenario Percentage		68%	81%	91%	81%	87%	97%	80%	84%	78%	71%	65%
Avg Max Increase		4.15%	3.30%	3.61%	3.93%	4.82%	4.73%	6.00%	6.36%	8.82%	7.41%	5.32%
Max Increase		11.99%	8.55%	7.95%	9.43%	16.47%	11.90%	17.54%	18.85%	23.53%	21.24%	11.83%
Avg Days To Max Increase		15	14	19	19	19	17	18	17	18	12	15
Avg Max Decline		-1.22%	-1.34%	-1.50%	-1.21%	-1.68%	-0.98%	-1.44%	-1.49%	-1.37%	-1.32%	-1.26%
Max Decline		-7.20%	-3.06%	-6.27%	-3.45%	-6.05%	-3.21%	-4.47%	-4.17%	-4.02%	-6.83%	-3.65%
Avg Days to Max Decline		5	13	10	12	11	9	8	6	7	7	3
2014 Contract Condition		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes		Yes
Action		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		42	45	45	45	45	45	45	45	45	45	45
Closed Lower		14	23	23	18	14	15	15	19	22	21	25
Penetrated Low		12	16	17	13	11	7	12	13	19	15	17
Scenario Percentage		86%	70%	74%	72%	79%	47%	80%	68%	86%	71%	68%
Avg Max Decline		5.05%	5.24%	4.31%	5.62%	6.18%	6.41%	5.92%	8.33%	7.16%	7.00%	4.64%
Max Decline		12.09%	18.54%	16.12%	16.03%	17.00%	14.34%	12.92%	14.79%	17.07%	22.77%	11.72%
Avg Days To Max Decline		13	14	16	12	15	19	21	21	18	13	13
Avg Max Increase		-1.13%	-0.78%	-1.07%	-1.36%	-0.95%	-2.13%	-2.24%	-0.79%	-1.62%	-1.27%	-0.69%
Max Increase		-4.24%	-1.67%	-3.34%	-5.86%	-3.17%	-3.41%	-4.60%	-1.99%	-5.92%	-3.76%	-2.56%
Avg Days to Max Increase		4	7	5	7	5	11	8	5	6	7	4
2014 Contract Condition					Yes						Yes
Action					Yes						No
High	125.630	127.680	127.730	129.075	130.200	129.325	130.050	134.735	135.150	139.000	137.735	139.950
Low	122.950	125.030	124.780	125.430	128.000	126.430	127.800	129.300	130.550	133.900	133.930	135.400
Close/Last	125.100	126.100	127.130	128.825	128.600	128.930	129.430	131.500	134.200	137.500	137.200	137.800