MRCI's ScenarioSM Study

ScenarioSM Study for June Live Cattle(CME) as of Dec 30, 2016
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		29	20	22	27	31	29	28	26	22	23	21
Exceeded High		20	16	20	21	26	28	22	22	18	16	14
Scenario Percentage		69%	80%	91%	78%	84%	97%	79%	85%	82%	70%	67%
Avg Max Increase		4.15%	3.45%	3.72%	3.77%	4.74%	4.31%	6.23%	6.27%	8.64%	7.66%	5.13%
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		16	14	19	20	19	17	19	17	17	13	15
Avg Max Decline		-1.34%	-1.34%	-1.52%	-1.23%	-1.75%	-1.05%	-1.57%	-1.46%	-1.65%	-1.42%	-1.18%
Max Decline		-7.20%	-3.06%	-6.27%	-3.45%	-6.05%	-3.21%	-4.47%	-4.17%	-4.69%	-6.83%	-3.65%
Avg Days to Max Decline		6	13	11	12	11	9	8	6	8	7	3
2016 Contract Condition					Yes		Yes		Yes			Yes
Action					No		Yes		Yes			Not Yet

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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		13	24	23	17	14	16	17	19	23	22	24
Penetrated Low		12	17	17	12	11	8	13	13	20	15	17
Scenario Percentage		92%	71%	74%	71%	79%	50%	76%	68%	87%	68%	71%
Avg Max Decline		5.75%	5.47%	4.30%	5.66%	6.48%	6.93%	5.79%	8.33%	7.21%	6.91%	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		15	15	15	12	16	20	21	21	18	13	13
Avg Max Increase		-1.20%	-0.79%	-1.50%	-1.34%	-1.06%	-2.14%	-2.19%	-0.79%	-1.57%	-1.76%	-0.69%
Max Increase		-4.24%	-1.67%	-8.42%	-5.86%	-3.17%	-3.41%	-4.60%	-1.99%	-5.92%	-8.48%	-2.56%
Avg Days to Max Increase		4	7	6	7	5	10	8	5	6	7	4
2016 Contract Condition		Yes	Yes	Yes		Yes		Yes		Yes	Yes
Action		Yes	Yes	Yes		Yes		No		Yes	Yes
High	147.700	146.750	141.650	136.850	135.150	133.030	128.450	128.575	126.600	131.350	124.900	124.680
Low	143.350	137.950	133.000	123.200	123.600	119.530	115.480	118.780	119.050	122.280	113.900	114.900
Close/Last	143.680	139.735	135.575	124.650	132.780	123.780	127.800	123.430	126.180	124.030	114.930	121.100