MRCI's ScenarioSM Study

ScenarioSM Study for April Feeder Cattle(CME) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	11	26	32	33	33	35	35	37	37	37	37
Closed Higher	6	15	20	17	17	13	20	21	23	20	18
Exceeded High	6	14	14	14	14	8	18	20	19	15	15
Scenario Percentage	100%	93%	70%	82%	82%	62%	90%	95%	83%	75%	83%
Avg Max Increase	5.96%	4.78%	3.53%	3.96%	4.27%	4.26%	4.80%	5.63%	5.90%	7.63%	4.47%
Max Increase	9.27%	9.99%	8.89%	10.58%	8.15%	7.62%	10.71%	16.45%	18.88%	21.09%	13.09%
Avg Days To Max Increase	20	19	15	14	21	19	19	15	15	13	14
Avg Max Decline	-3.14%	-0.89%	-1.22%	-1.37%	-1.15%	-1.33%	-1.38%	-1.24%	-1.62%	-1.49%	-0.90%
Max Decline	-9.58%	-2.54%	-4.91%	-5.68%	-4.22%	-3.55%	-4.91%	-6.72%	-5.36%	-4.58%	-4.35%
Avg Days to Max Decline	11	11	9	9	10	8	9	8	10	5	2
2009 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	11	26	32	33	33	35	35	37	37	37	37
Closed Lower	5	11	12	16	16	21	15	16	14	17	19
Penetrated Low	4	8	9	10	14	14	8	10	10	12	11
Scenario Percentage	80%	73%	75%	62%	88%	67%	53%	62%	71%	71%	58%
Avg Max Decline	3.86%	5.52%	4.96%	3.72%	5.10%	6.94%	7.84%	6.93%	7.88%	8.14%	8.28%
Max Decline	8.48%	10.47%	14.00%	14.09%	15.76%	18.71%	17.23%	15.62%	16.52%	13.35%	25.27%
Avg Days To Max Decline	23	11	14	15	20	17	17	21	22	13	17
Avg Max Increase	-0.84%	-1.19%	-2.05%	-1.13%	-0.89%	-1.26%	-0.98%	-1.54%	-2.16%	-0.40%	-1.62%
Max Increase	-3.76%	-4.71%	-6.32%	-2.92%	-2.23%	-3.41%	-3.15%	-3.59%	-6.36%	-2.82%	-5.67%
Avg Days to Max Increase	7	5	11	11	9	14	7	9	7	4	5
2009 Contract Condition				Yes	Yes	Yes	Yes		Yes		Yes
Action				Yes	Yes	Yes	Yes		Yes		No
High	112.500	116.250	116.975	118.250	111.050	104.850	101.175	95.500	98.800	98.200	95.400
Low	107.975	109.900	113.250	109.600	103.000	94.500	88.450	85.375	90.400	88.875	89.575
Close/Last	112.500	116.200	116.350	110.000	105.000	98.925	92.750	94.450	92.325	93.875	93.175