MRCI's ScenarioSM Study

ScenarioSM Study for February Live Cattle(CME) as of Jan 01, 2013
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		39	44	45	45	45	45	45	45	45	45	45
Closed Higher		19	23	23	27	28	17	27	24	27	27	28
Exceeded High		17	18	19	25	20	15	25	14	24	25	21
Scenario Percentage		89%	78%	83%	93%	71%	88%	93%	58%	89%	93%	75%
Avg Max Increase		4.91%	5.07%	5.34%	6.13%	4.06%	4.73%	4.53%	5.18%	5.88%	7.71%	4.65%
Max Increase		20.95%	13.59%	24.14%	28.67%	14.74%	14.40%	14.77%	9.77%	14.42%	23.28%	8.94%
Avg Days To Max Increase		15	17	21	19	18	16	21	18	18	16	16
Avg Max Decline		-0.80%	-0.96%	-1.37%	-1.26%	-2.07%	-1.31%	-1.84%	-1.35%	-1.80%	-1.41%	-0.77%
Max Decline		-2.14%	-3.30%	-4.69%	-5.28%	-8.02%	-3.25%	-8.32%	-3.73%	-7.80%	-3.89%	-4.16%
Avg Days to Max Decline		6	10	12	8	13	9	13	9	7	12	3
2012 Contract Condition		Yes			Yes	Yes		Yes		Yes		Yes
Action		Yes			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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		39	44	45	45	45	45	45	45	45	45	45
Closed Lower		19	21	22	18	17	28	18	20	17	18	17
Penetrated Low		13	14	13	15	14	19	15	12	12	9	10
Scenario Percentage		68%	67%	59%	83%	82%	68%	83%	60%	71%	50%	59%
Avg Max Decline		4.34%	4.31%	5.63%	4.37%	5.09%	5.80%	5.04%	4.87%	8.04%	10.48%	3.45%
Max Decline		8.00%	7.25%	13.25%	11.40%	13.21%	19.34%	16.80%	14.48%	16.95%	16.13%	5.22%
Avg Days To Max Decline		16	19	20	20	14	15	18	11	14	17	14
Avg Max Increase		-0.69%	-1.02%	-1.40%	-1.60%	-1.28%	-1.37%	-2.11%	-1.53%	-1.19%	-1.12%	-1.26%
Max Increase		-1.90%	-2.37%	-4.08%	-4.18%	-3.98%	-3.44%	-7.75%	-4.22%	-4.48%	-3.54%	-4.21%
Avg Days to Max Increase		7	7	8	11	4	9	9	8	5	6	5
2012 Contract Condition			Yes	Yes			Yes		Yes		Yes
Action			Yes	No			Yes		Yes		Not Yet
High	120.800	124.825	125.800	123.450	124.000	127.000	125.300	124.325	126.600	126.500	124.680	126.380
Low	116.475	114.900	121.025	114.325	114.400	120.350	118.700	118.475	120.975	120.175	116.850	119.750
Close/Last	119.750	124.800	123.200	116.750	121.175	122.875	119.875	124.150	121.375	123.600	121.450	124.850