MRCI's ScenarioSM Study

ScenarioSM Study for January Feeder Cattle(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	11	22	23	27	27	28	30	30	30	30	30
Closed Higher	5	8	15	17	16	20	16	18	12	19	15
Exceeded High	4	8	12	16	16	15	15	16	10	16	12
Scenario Percentage	80%	100%	80%	94%	100%	75%	94%	89%	83%	84%	80%
Avg Max Increase	6.54%	6.40%	5.00%	4.97%	5.13%	4.48%	4.48%	4.81%	4.21%	4.41%	3.04%
Max Increase	15.76%	23.36%	14.18%	9.86%	10.16%	9.97%	15.07%	12.29%	8.07%	10.33%	7.28%
Avg Days To Max Increase	20	14	17	21	18	15	12	20	15	16	15
Avg Max Decline	-0.93%	-1.14%	-0.66%	-2.30%	-1.09%	-1.21%	-1.33%	-1.67%	-1.33%	-1.75%	-0.55%
Max Decline	-4.25%	-7.28%	-2.36%	-11.41%	-3.46%	-5.37%	-5.73%	-7.29%	-4.34%	-5.38%	-2.57%
Avg Days to Max Decline	7	9	13	11	5	6	9	9	9	10	4
2007 Contract Condition				Yes	Yes	Yes	Yes				Yes
Action				Yes	Yes	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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	11	22	23	27	27	28	30	30	30	30	30
Closed Lower	5	14	8	10	11	8	14	11	18	11	14
Penetrated Low	4	12	3	5	8	6	10	11	10	7	8
Scenario Percentage	80%	86%	38%	50%	73%	75%	71%	100%	56%	64%	57%
Avg Max Decline	5.16%	3.85%	5.04%	6.11%	5.73%	4.01%	2.46%	4.88%	6.91%	7.17%	12.81%
Max Decline	6.89%	11.95%	7.31%	10.44%	10.88%	5.89%	5.40%	14.66%	14.68%	13.88%	44.07%
Avg Days To Max Decline	19	19	18	21	17	10	16	17	17	17	18
Avg Max Increase	-0.13%	-1.56%	-0.27%	-0.91%	-1.67%	-2.13%	-1.94%	-1.53%	-1.68%	-1.66%	-1.94%
Max Increase	-0.22%	-6.97%	-0.84%	-1.76%	-4.42%	-6.75%	-6.22%	-4.88%	-3.99%	-3.74%	-5.38%
Avg Days to Max Increase	3	8	5	12	10	11	16	8	10	10	7
2007 Contract Condition	Yes	Yes	Yes					Yes	Yes	Yes
Action	Yes	Yes	No					Yes	Yes	Yes
High	108.375	104.600	101.250	103.750	110.500	109.000	114.100	115.500	109.900	102.475	100.650
Low	104.400	101.300	97.250	98.300	102.450	105.600	107.100	108.000	100.675	92.550	95.500
Close/Last	104.450	101.300	98.400	103.400	106.600	109.000	113.425	108.450	101.500	97.875	99.600