MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		19	31	34	36	37	37	40	40	40	40	40
Closed Higher		10	20	18	19	16	19	22	26	24	20	22
Exceeded High		9	15	13	15	12	17	22	22	20	19	14
Scenario Percentage		90%	75%	72%	79%	75%	89%	100%	85%	83%	95%	64%
Avg Max Increase		4.09%	3.53%	4.27%	4.42%	3.94%	4.95%	5.35%	6.02%	6.76%	6.00%	3.65%
Max Increase		6.75%	8.60%	10.67%	8.83%	10.43%	10.55%	17.01%	16.55%	21.46%	21.34%	11.90%
Avg Days To Max Increase		16	17	15	22	18	18	16	18	16	13	15
Avg Max Decline		-1.07%	-1.27%	-1.38%	-1.71%	-0.85%	-1.35%	-1.21%	-1.63%	-2.13%	-1.65%	-0.50%
Max Decline		-2.45%	-4.48%	-4.98%	-9.65%	-3.19%	-4.84%	-6.22%	-5.66%	-5.23%	-4.62%	-1.82%
Avg Days to Max Decline		10	10	8	11	5	9	10	10	10	7	2
2011 Contract Condition		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	No		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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		19	31	34	36	37	37	40	40	40	40	40
Closed Lower		9	11	14	17	21	17	18	14	16	20	18
Penetrated Low		7	8	10	15	16	10	10	11	12	15	10
Scenario Percentage		78%	73%	71%	88%	76%	59%	56%	79%	75%	75%	56%
Avg Max Decline		4.66%	4.90%	3.51%	5.17%	5.83%	6.68%	6.60%	6.86%	8.54%	7.16%	4.19%
Max Decline		7.50%	13.63%	13.50%	16.11%	18.56%	17.50%	16.54%	17.19%	18.27%	17.99%	7.25%
Avg Days To Max Decline		13	15	12	17	15	18	21	20	21	13	12
Avg Max Increase		-1.50%	-1.36%	-1.23%	-0.95%	-1.10%	-0.88%	-1.19%	-1.62%	-0.87%	-1.57%	-0.63%
Max Increase		-4.57%	-5.64%	-3.14%	-2.23%	-3.22%	-2.48%	-3.09%	-5.49%	-3.22%	-7.21%	-1.30%
Avg Days to Max Increase		10	8	10	10	10	6	7	7	7	7	3
2011 Contract Condition					Yes							Yes
Action					Yes							Yes
High	108.000	109.850	111.850	116.300	115.000	115.400	120.750	125.450	130.600	134.450	139.650	139.750
Low	107.900	107.500	109.100	110.550	110.500	108.800	112.800	119.100	123.000	125.450	128.400	128.700
Close/Last	107.900	109.500	111.450	114.750	112.700	113.600	120.625	125.225	129.575	132.625	139.375	131.900