MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		39	44	45	45	45	45	45	45	45	45	45
Closed Higher		26	23	23	22	21	26	28	22	26	24	27
Exceeded High		22	19	20	17	18	24	22	20	23	17	18
Scenario Percentage		85%	83%	87%	77%	86%	92%	79%	91%	88%	71%	67%
Avg Max Increase		3.65%	3.85%	4.22%	5.76%	5.87%	6.47%	4.53%	5.51%	5.05%	5.50%	2.99%
Max Increase		12.47%	13.33%	21.08%	13.31%	23.89%	27.74%	10.78%	17.67%	16.89%	10.63%	8.00%
Avg Days To Max Increase		16	17	15	18	21	20	18	18	19	16	17
Avg Max Decline		-1.29%	-1.14%	-0.99%	-1.33%	-1.70%	-1.40%	-2.03%	-1.59%	-1.59%	-1.09%	-1.54%
Max Decline		-3.93%	-4.31%	-5.65%	-7.18%	-3.67%	-6.93%	-9.56%	-7.78%	-5.36%	-2.91%	-6.01%
Avg Days to Max Decline		9	9	7	7	13	7	7	9	10	6	6
2014 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes	Yes	Yes
Action		Yes	Yes	Yes	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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		39	44	45	45	45	45	45	45	45	45	45
Closed Lower		11	21	22	23	24	19	17	23	19	21	18
Penetrated Low		8	11	15	16	15	15	14	16	17	15	12
Scenario Percentage		73%	52%	68%	70%	63%	79%	82%	70%	89%	71%	67%
Avg Max Decline		6.03%	6.64%	6.45%	5.37%	5.63%	5.15%	5.43%	6.74%	5.31%	6.75%	4.65%
Max Decline		11.87%	14.48%	27.03%	22.79%	13.42%	14.82%	13.62%	23.20%	17.43%	15.03%	8.88%
Avg Days To Max Decline		22	19	16	17	18	17	15	11	14	11	13
Avg Max Increase		-1.21%	-0.58%	-0.77%	-1.01%	-1.61%	-2.33%	-1.75%	-1.12%	-2.04%	-2.01%	-0.53%
Max Increase		-3.55%	-1.39%	-2.08%	-3.46%	-5.68%	-5.92%	-4.54%	-3.45%	-5.33%	-7.24%	-1.55%
Avg Days to Max Increase		6	9	7	9	7	14	6	5	9	8	3
2014 Contract Condition									Yes
Action									No
High	131.850	136.350	137.485	141.075	143.000	146.825	155.900	160.200	157.550	165.080	170.000	171.650
Low	129.635	131.500	133.430	136.500	138.350	141.680	145.235	150.825	147.235	154.180	161.825	164.900
Close/Last	131.825	134.350	136.900	140.250	141.985	145.735	153.735	158.100	153.950	163.485	166.050	168.885