MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	8	28	32	33	33	35	35	36	36	36	36
Closed Higher	5	11	20	20	23	19	17	22	20	21	23
Exceeded High	5	6	18	19	19	13	14	18	17	19	19
Scenario Percentage	100%	55%	90%	95%	83%	68%	82%	82%	85%	90%	83%
Avg Max Increase	4.67%	3.81%	4.33%	5.29%	4.73%	6.87%	6.93%	5.96%	7.22%	6.49%	4.22%
Max Increase	7.56%	6.02%	11.09%	15.56%	16.73%	17.28%	24.60%	17.35%	14.63%	12.08%	13.56%
Avg Days To Max Increase	22	13	20	16	15	18	19	19	19	16	16
Avg Max Decline	-1.32%	-1.21%	-1.07%	-0.88%	-1.28%	-1.41%	-1.31%	-1.36%	-1.51%	-1.37%	-1.04%
Max Decline	-2.86%	-3.21%	-4.34%	-5.57%	-4.41%	-5.00%	-2.71%	-3.56%	-4.14%	-4.71%	-2.83%
Avg Days to Max Decline	17	7	9	11	8	6	14	11	9	6	3
2007 Contract Condition				Yes		Yes	Yes	Yes		Yes	Yes
Action				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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	8	28	32	33	33	35	35	36	36	36	36
Closed Lower	2	17	12	13	10	16	18	14	16	15	13
Penetrated Low	2	10	6	7	7	13	15	8	9	10	11
Scenario Percentage	100%	59%	50%	54%	70%	81%	83%	57%	56%	67%	85%
Avg Max Decline	4.30%	5.36%	7.54%	5.28%	7.76%	6.17%	6.38%	7.53%	9.89%	5.65%	8.59%
Max Decline	6.29%	15.87%	15.49%	8.18%	16.93%	18.30%	12.76%	29.63%	15.85%	10.89%	43.47%
Avg Days To Max Decline	22	16	22	15	19	18	17	18	19	14	11
Avg Max Increase	-1.68%	-0.65%	-0.51%	-1.14%	-0.98%	-0.67%	-1.62%	-1.76%	-1.35%	-2.32%	-2.46%
Max Increase	-1.81%	-2.35%	-1.05%	-2.29%	-4.22%	-2.00%	-7.40%	-4.29%	-3.03%	-6.78%	-16.02%
Avg Days to Max Increase	16	6	5	5	6	5	9	10	11	7	9
2007 Contract Condition		Yes	Yes		Yes				Yes
Action		Yes	No		No				Yes
High	110.950	107.675	103.500	103.875	103.550	106.500	111.200	114.000	114.400	111.900	117.650
Low	106.800	102.250	95.600	100.000	96.600	99.700	105.350	109.250	108.900	105.500	110.700
Close/Last	107.050	102.850	100.850	102.300	100.625	106.250	111.025	112.850	111.425	111.550	117.350