MRCI's ScenarioSM Study

ScenarioSM Study for February Live Cattle(CME) as of Dec 31, 2004
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	37	38	38	39	39	39	39	39	39	39	39
Closed Higher	17	18	21	24	16	22	21	25	23	26	30
Exceeded High	13	16	20	18	13	21	12	22	23	21
Scenario Percentage	76%	89%	95%	75%	81%	95%	57%	88%	100%	81%	0%
Avg Max Increase	5.12%	5.21%	6.57%	4.03%	4.51%	4.77%	6.05%	6.35%	8.10%	4.63%
Max Increase	13.59%	24.14%	28.67%	14.74%	14.40%	14.77%	12.34%	14.42%	23.28%	8.94%
Avg Days To Max Increase	17	19	18	16	14	21	15	18	16	16
Avg Max Decline	-0.94%	-1.46%	-1.26%	-1.99%	-1.20%	-1.93%	-1.02%	-1.61%	-1.24%	-0.71%
Max Decline	-3.30%	-4.69%	-5.28%	-8.02%	-3.25%	-8.32%	-3.73%	-7.80%	-3.89%	-4.16%
Avg Days to Max Decline	13	11	8	12	8	15	8	6	11	3
2005 Contract Condition	Yes	Yes	Yes	Yes		Yes		Yes		Yes
Action	Yes	Yes	Yes	No		Yes		Yes

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Some data provided by Prophetfinance.com

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	37	38	38	39	39	39	39	39	39	39	39
Closed Lower	20	20	17	15	23	17	17	13	16	13	9
Penetrated Low	13	12	13	13	15	13	9	9	9	8	9
Scenario Percentage	65%	60%	76%	87%	65%	76%	53%	69%	56%	62%	100%
Avg Max Decline	4.08%	5.93%	4.73%	4.50%	5.69%	4.67%	4.13%	8.52%	10.17%	3.42%	100.00%
Max Decline	7.25%	13.25%	11.40%	13.21%	19.34%	11.53%	9.24%	16.95%	16.13%	5.22%	100.00%
Avg Days To Max Decline	19	21	19	12	14	18	9	12	16	13	1
Avg Max Increase	-1.08%	-1.41%	-1.64%	-1.21%	-1.15%	-2.20%	-1.22%	-1.10%	-0.98%	-1.05%	100.00%
Max Increase	-2.37%	-4.08%	-4.18%	-3.98%	-3.31%	-7.75%	-3.11%	-4.48%	-2.31%	-2.67%	100.00%
Avg Days to Max Increase	8	9	10	4	6	9	7	2	6	5	1
2005 Contract Condition					Yes		Yes		Yes
Action					Yes		Yes		Not Yet
High	85.700	88.000	90.200	91.850	91.500	90.200	90.725	90.350	92.000	89.100
Low	78.900	83.250	86.800	86.750	86.400	86.200	86.000	85.250	86.250	88.050
Close/Last	84.900	87.425	87.775	89.925	88.150	88.900	87.200	89.550	87.825	88.400