MRCI's ScenarioSM Study

ScenarioSM Study for January Feeder Cattle(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		15	26	27	31	31	32	34	34	34	34	34
Closed Higher		9	10	19	19	19	24	18	18	12	20	18
Exceeded High		7	10	15	18	19	18	16	16	10	17	15
Scenario Percentage		78%	100%	79%	95%	100%	75%	89%	89%	83%	85%	83%
Avg Max Increase		6.18%	5.68%	4.79%	4.65%	5.02%	4.16%	4.31%	4.81%	4.21%	4.72%	3.28%
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		18	16	19	20	18	14	12	20	15	16	15
Avg Max Decline		-0.91%	-1.09%	-0.93%	-2.58%	-1.11%	-1.20%	-1.24%	-1.67%	-1.33%	-1.76%	-0.65%
Max Decline		-4.25%	-7.28%	-3.95%	-11.41%	-3.46%	-5.37%	-5.73%	-7.29%	-4.34%	-5.38%	-2.57%
Avg Days to Max Decline		5	11	14	11	6	6	8	9	9	10	4
2011 Contract Condition		Yes	Yes	Yes		Yes	Yes	Yes			Yes	Yes
Action		Yes	Yes	No		Yes	Yes	No			Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		15	26	27	31	31	32	34	34	34	34	34
Closed Lower		5	16	8	12	12	8	16	15	22	14	15
Penetrated Low		4	12	3	6	8	6	12	15	13	10	8
Scenario Percentage		80%	75%	38%	50%	67%	75%	75%	100%	59%	71%	53%
Avg Max Decline		5.16%	3.85%	5.04%	5.62%	5.73%	4.01%	3.84%	5.91%	7.09%	7.08%	3.69%
Max Decline		6.89%	11.95%	7.31%	10.44%	10.88%	5.89%	15.43%	15.48%	14.68%	13.88%	8.52%
Avg Days To Max Decline		19	19	18	20	17	10	16	16	16	15	13
Avg Max Increase		-0.13%	-1.56%	-0.27%	-0.66%	-1.67%	-2.13%	-1.97%	-1.22%	-1.95%	-1.38%	-0.73%
Max Increase		-0.22%	-6.97%	-0.84%	-1.76%	-4.42%	-6.75%	-6.22%	-4.88%	-3.99%	-3.74%	-3.36%
Avg Days to Max Increase		3	8	5	10	10	11	14	6	11	7	3
2011 Contract Condition					Yes				Yes	Yes
Action					No				Yes	No
High	101.600	103.700	109.900	114.025	113.800	111.600	113.550	117.000	115.825	113.700	120.175	122.475
Low	101.300	101.600	103.500	109.900	105.400	106.000	110.250	111.575	109.100	106.650	109.850	116.875
Close/Last	101.600	103.600	109.900	112.500	106.000	111.050	113.075	114.850	112.950	110.800	119.175	121.875