MRCI's ScenarioSM Study

ScenarioSM Study for November Feeder Cattle(CME) as of Dec 31, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		18	30	36	37	38	39	39	39	39	39	39
Closed Higher		11	21	20	16	24	23	23	25	22	21	15
Exceeded High		11	17	13	15	17	19	22	22	19	17	5
Scenario Percentage		100%	81%	65%	94%	71%	83%	96%	88%	86%	81%	33%
Avg Max Increase		5.54%	4.17%	6.36%	5.74%	6.15%	6.31%	6.79%	4.87%	5.17%	3.81%	1.88%
Max Increase		14.30%	16.22%	13.46%	23.93%	16.07%	18.16%	33.08%	12.84%	16.13%	10.84%	4.36%
Avg Days To Max Increase		14	15	20	16	20	20	17	14	10	11	10
Avg Max Decline		-0.07%	-0.83%	-1.09%	-0.79%	-1.24%	-1.70%	-1.30%	-1.59%	-1.27%	-1.43%	-0.91%
Max Decline		-0.59%	-3.23%	-5.05%	-1.95%	-4.15%	-6.17%	-3.99%	-5.19%	-7.19%	-8.14%	-1.65%
Avg Days to Max Decline		5	6	7	6	12	10	10	6	6	5	3
2010 Contract Condition		Yes	Yes	Yes	Yes	Yes		Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	No		Yes	Yes	No

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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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		18	30	36	37	38	39	39	39	39	39	39
Closed Lower		7	9	16	20	13	16	16	14	17	18	22
Penetrated Low		4	6	12	14	7	12	11	11	12	15	11
Scenario Percentage		57%	67%	75%	70%	54%	75%	69%	79%	71%	83%	50%
Avg Max Decline		3.27%	5.34%	7.07%	5.48%	3.91%	6.47%	5.93%	7.27%	6.97%	4.96%	3.42%
Max Decline		5.69%	16.98%	22.26%	11.39%	8.27%	12.57%	12.22%	25.87%	16.68%	12.76%	7.00%
Avg Days To Max Decline		8	18	16	18	16	17	15	12	13	13	9
Avg Max Increase		-0.84%	-1.50%	-0.66%	-1.30%	-0.67%	-1.07%	-1.82%	-2.20%	-1.08%	-1.60%	-0.57%
Max Increase		-1.10%	-5.12%	-1.94%	-6.67%	-1.69%	-4.01%	-4.87%	-8.96%	-3.73%	-7.18%	-1.23%
Avg Days to Max Increase		7	4	5	9	4	4	10	9	4	7	2
2010 Contract Condition							Yes				Yes	Yes
Action							No				Yes	Not Yet
High	97.800	98.600	102.100	104.800	112.225	116.500	116.500	113.500	115.500	117.950	116.400	112.875
Low	97.750	97.500	98.700	101.600	104.200	111.900	106.850	107.200	111.800	111.675	108.250	106.125
Close/Last	97.800	98.600	102.100	104.000	112.100	114.650	107.850	112.675	114.725	115.700	112.025	110.325