MRCI's ScenarioSM Study

ScenarioSM Study for June Live Cattle(CME) as of Jan 01, 2018
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		43	45	45	45	45	45	45	45	45	45	45
Closed Higher		29	20	21	27	31	29	27	27	22	23	21
Exceeded High		20	16	19	21	26	28	22	23	18	16	13
Scenario Percentage		69%	80%	90%	78%	84%	97%	81%	85%	82%	70%	62%
Avg Max Increase		4.15%	3.45%	3.63%	4.08%	4.64%	4.22%	6.23%	6.67%	9.22%	7.62%	5.27%
Max Increase		11.99%	8.55%	7.95%	10.56%	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	18	15	13	15
Avg Max Decline		-1.34%	-1.34%	-1.60%	-1.27%	-1.79%	-1.10%	-1.57%	-1.48%	-1.72%	-1.41%	-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	11	11	9	8	6	8	7	4
2017 Contract Condition					Yes	Yes	Yes		Yes	Yes	Yes	Yes
Action					Yes	Yes	Yes		Yes	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		43	45	45	45	45	45	45	45	45	45	45
Closed Lower		14	24	24	17	14	16	18	18	23	22	24
Penetrated Low		13	17	18	12	11	8	14	13	20	15	17
Scenario Percentage		93%	71%	75%	71%	79%	50%	78%	72%	87%	68%	71%
Avg Max Decline		6.09%	6.04%	4.22%	5.66%	6.48%	6.93%	5.45%	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		16	15	15	12	16	20	21	21	18	13	13
Avg Max Increase		-1.39%	-0.72%	-1.60%	-1.34%	-1.06%	-2.14%	-2.20%	-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		5	8	6	7	5	10	8	5	6	7	4
2017 Contract Condition		Yes	Yes	Yes				Yes
Action		Yes	Yes	Yes				Yes
High	110.150	108.430	107.950	101.300	97.585	102.950	105.750	109.635	107.850	114.200	124.230	134.550
Low	104.650	100.600	99.300	93.600	91.300	94.600	100.030	103.280	103.150	105.385	108.680	120.585
Close/Last	107.730	104.200	101.300	93.950	95.650	102.900	104.680	104.200	107.550	110.885	124.030	124.430