MRCI's ScenarioSM Study

ScenarioSM Study for October Feeder Cattle(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		8	30	33	36	37	37	37	37	37	37	37
Closed Higher		3	18	23	21	16	23	23	21	23	22	19
Exceeded High		3	18	20	13	14	17	18	20	20	20	13
Scenario Percentage		100%	100%	87%	62%	88%	74%	78%	95%	87%	91%	68%
Avg Max Increase		6.93%	5.10%	4.23%	6.18%	5.81%	6.18%	6.91%	7.28%	4.80%	5.16%	2.99%
Max Increase		10.29%	14.38%	15.47%	13.16%	24.60%	17.00%	17.69%	33.68%	13.80%	17.30%	10.87%
Avg Days To Max Increase		21	14	14	20	17	21	22	16	14	12	12
Avg Max Decline		-0.56%	-0.76%	-0.98%	-1.15%	-1.17%	-1.18%	-1.68%	-1.46%	-1.76%	-1.39%	-0.68%
Max Decline		-1.01%	-5.45%	-3.21%	-5.02%	-2.84%	-3.10%	-7.28%	-4.59%	-6.61%	-7.38%	-2.04%
Avg Days to Max Decline		9	7	7	7	7	11	11	8	6	3	3
2008 Contract Condition				Yes	Yes		Yes	Yes		Yes
Action				Yes	No		Yes	No		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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		8	30	33	36	37	37	37	37	37	37	37
Closed Lower		5	12	10	15	21	14	14	15	14	15	17
Penetrated Low		2	6	6	12	16	8	12	11	11	11	10
Scenario Percentage		40%	50%	60%	80%	76%	57%	86%	73%	79%	73%	59%
Avg Max Decline		6.51%	5.41%	8.73%	5.78%	6.99%	7.61%	6.63%	6.32%	6.97%	6.37%	3.69%
Max Decline		9.34%	8.12%	16.84%	14.96%	30.86%	31.86%	13.63%	12.55%	24.37%	16.33%	8.22%
Avg Days To Max Decline		22	21	23	18	18	10	16	15	13	11	12
Avg Max Increase		-0.34%	-1.11%	-0.95%	-0.66%	-1.69%	-0.82%	-1.21%	-1.88%	-3.00%	-0.99%	-1.18%
Max Increase		-0.68%	-2.26%	-4.16%	-1.74%	-6.89%	-2.02%	-4.47%	-4.73%	-7.79%	-4.23%	-4.09%
Avg Days to Max Increase		5	7	8	4	10	5	5	10	9	3	2
2008 Contract Condition		Yes	Yes			Yes			Yes		Yes	Yes
Action		Yes	Yes			No			Yes		Yes	Yes
High	113.200	112.600	111.500	111.400	113.750	113.400	113.100	117.900	117.350	117.300	118.800	112.100
Low	112.700	111.000	108.400	107.400	110.300	104.300	104.600	109.250	110.025	112.000	109.500	102.000
Close/Last	112.700	111.500	109.900	110.800	113.500	106.900	110.975	117.825	114.675	116.425	110.950	104.000