MRCI's ScenarioSM Study

ScenarioSM Study for March Feeder Cattle(CME) as of Jan 01, 2013
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		13	29	34	37	38	38	40	40	40	40	40
Closed Higher		10	15	20	23	21	21	12	22	23	22	20
Exceeded High		7	13	19	16	15	16	8	20	22	18	11
Scenario Percentage		70%	87%	95%	70%	71%	76%	67%	91%	96%	82%	55%
Avg Max Increase		6.17%	4.66%	4.50%	4.04%	4.44%	5.21%	4.03%	6.10%	6.02%	6.40%	4.57%
Max Increase		13.41%	8.56%	9.73%	9.12%	11.69%	8.82%	5.76%	22.42%	15.82%	16.68%	10.89%
Avg Days To Max Increase		20	18	19	17	16	22	15	17	17	14	13
Avg Max Decline		-0.71%	-2.32%	-0.86%	-1.55%	-1.68%	-2.07%	-1.37%	-1.65%	-1.42%	-1.84%	-0.44%
Max Decline		-1.68%	-10.19%	-2.93%	-5.11%	-5.64%	-9.63%	-4.75%	-5.65%	-8.06%	-8.80%	-1.60%
Avg Days to Max Decline		6	12	9	7	10	11	6	9	6	7	2
2012 Contract Condition				Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action				Yes	Yes		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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		13	29	34	37	38	38	40	40	40	40	40
Closed Lower		3	14	14	14	17	17	28	17	17	18	19
Penetrated Low		1	7	10	11	10	15	19	12	11	14	11
Scenario Percentage		33%	50%	71%	79%	59%	88%	68%	71%	65%	78%	58%
Avg Max Decline		7.23%	5.16%	5.44%	5.52%	4.71%	5.30%	6.75%	8.29%	7.43%	6.36%	5.84%
Max Decline		7.23%	9.41%	10.51%	14.35%	14.82%	15.42%	17.94%	16.94%	15.28%	12.39%	9.34%
Avg Days To Max Decline		26	18	14	15	13	17	17	16	20	18	17
Avg Max Increase		0.00%	-0.79%	-1.23%	-1.72%	-1.06%	-1.00%	-1.82%	-1.61%	-1.64%	-2.13%	-0.39%
Max Increase		0.00%	-1.73%	-4.09%	-5.95%	-3.02%	-2.93%	-3.66%	-7.17%	-4.74%	-6.48%	-2.47%
Avg Days to Max Increase		2	9	9	9	5	6	12	9	9	9	4
2012 Contract Condition		Yes	Yes			Yes		Yes
Action		Yes	No			No		Yes
High	134.550	136.100	134.100	138.300	143.000	141.050	147.300	148.775	150.875	150.800	155.800	159.050
Low	134.550	132.750	124.400	125.575	134.925	133.600	134.850	143.150	144.175	142.930	149.075	153.250
Close/Last	134.550	134.100	126.800	137.000	139.700	135.475	146.325	145.550	148.175	148.800	155.530	157.235