MRCI's ScenarioSM Study

ScenarioSM Study for October Live Cattle(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		43	44	44	44	45	45	45	45	45	45	45
Closed Higher		29	32	32	25	23	25	20	24	28	21	26
Exceeded High		27	27	28	20	20	18	17	23	25	18	19
Scenario Percentage		93%	84%	88%	80%	87%	72%	85%	96%	89%	86%	73%
Avg Max Increase		3.60%	5.01%	4.31%	4.96%	5.29%	5.71%	6.20%	6.97%	4.90%	6.74%	4.40%
Max Increase		9.11%	14.10%	14.44%	14.08%	20.35%	13.11%	21.44%	27.14%	13.64%	25.05%	18.26%
Avg Days To Max Increase		20	18	16	18	17	14	16	15	15	14	16
Avg Max Decline		-1.21%	-0.52%	-1.24%	-1.15%	-1.29%	-1.29%	-1.90%	-1.85%	-1.88%	-1.54%	-0.64%
Max Decline		-3.97%	-1.68%	-4.11%	-5.63%	-5.37%	-7.13%	-4.03%	-10.28%	-8.40%	-6.73%	-3.21%
Avg Days to Max Decline		11	9	8	8	7	7	11	9	6	11	3
2013 Contract Condition			Yes						Yes		Yes	Yes
Action			No						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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		43	44	44	44	45	45	45	45	45	45	45
Closed Lower		14	12	12	19	22	20	25	21	16	24	19
Penetrated Low		10	4	10	13	17	14	19	15	14	18	12
Scenario Percentage		71%	33%	83%	68%	77%	70%	76%	71%	88%	75%	63%
Avg Max Decline		4.01%	7.33%	6.29%	6.48%	6.19%	6.33%	5.17%	6.21%	5.25%	6.96%	3.79%
Max Decline		12.82%	13.48%	12.91%	14.73%	25.65%	22.84%	14.26%	15.45%	13.56%	23.20%	12.03%
Avg Days To Max Decline		16	16	20	17	17	17	20	19	14	11	11
Avg Max Increase		-0.90%	-1.62%	-1.59%	-0.46%	-1.11%	-1.17%	-1.75%	-2.42%	-2.27%	-1.69%	-0.99%
Max Increase		-3.67%	-2.70%	-3.63%	-1.96%	-3.76%	-2.33%	-5.22%	-6.56%	-6.02%	-4.87%	-5.55%
Avg Days to Max Increase		7	13	6	7	8	8	9	13	9	5	2
2013 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes		Yes
Action		Yes		Yes	Yes	Yes	Yes	No		Yes
High	135.235	134.600	136.700	135.700	133.750	130.930	129.500	127.230	126.200	126.980	129.100	128.400
Low	132.700	131.500	133.050	129.500	128.385	125.800	123.430	121.250	121.600	124.530	124.100	124.300
Close/Last	134.200	133.500	134.235	133.350	130.485	129.530	125.950	123.750	125.680	125.480	126.800	127.850