MRCI's ScenarioSM Study

ScenarioSM Study for April Live 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		41	43	44	44	44	44	44	44	44	44	44
Closed Higher		21	25	27	18	22	25	28	28	30	28	27
Exceeded High		17	23	20	15	21	17	25	27	24	23	21
Scenario Percentage		81%	92%	74%	83%	95%	68%	89%	96%	80%	82%	78%
Avg Max Increase		5.03%	5.63%	3.71%	3.70%	3.71%	4.52%	5.88%	6.12%	8.26%	7.53%	5.01%
Max Increase		22.82%	28.72%	11.79%	10.35%	8.50%	9.13%	15.90%	15.44%	23.63%	23.61%	17.27%
Avg Days To Max Increase		19	20	14	16	22	19	16	20	18	13	13
Avg Max Decline		-1.09%	-0.88%	-1.52%	-1.46%	-1.96%	-1.25%	-1.80%	-1.32%	-1.56%	-1.26%	-0.93%
Max Decline		-3.66%	-3.41%	-7.69%	-3.52%	-8.67%	-3.62%	-6.20%	-3.48%	-4.87%	-4.16%	-2.90%
Avg Days to Max Decline		9	8	8	16	14	10	9	12	8	7	2
2011 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action			Yes	Yes	Yes	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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		41	43	44	44	44	44	44	44	44	44	44
Closed Lower		20	18	17	26	21	19	15	15	14	16	17
Penetrated Low		12	13	14	19	17	11	11	8	11	10	12
Scenario Percentage		60%	72%	82%	73%	81%	58%	73%	53%	79%	63%	71%
Avg Max Decline		5.45%	4.56%	4.63%	5.45%	4.86%	4.48%	6.13%	8.44%	6.49%	8.10%	4.97%
Max Decline		12.45%	12.27%	12.81%	17.84%	15.87%	13.03%	15.83%	14.02%	13.57%	16.04%	11.54%
Avg Days To Max Decline		19	20	12	13	18	14	10	21	17	11	12
Avg Max Increase		-1.23%	-1.13%	-1.29%	-0.89%	-1.45%	-1.52%	-1.01%	-1.91%	-2.50%	-1.47%	-1.23%
Max Increase		-4.45%	-3.64%	-4.22%	-4.40%	-7.26%	-3.38%	-4.52%	-4.32%	-5.34%	-4.89%	-3.09%
Avg Days to Max Increase		8	9	4	6	9	9	3	13	8	8	2
2011 Contract Condition		Yes									Yes
Action		No									Yes
High	99.050	99.700	96.800	99.525	103.000	104.500	107.050	109.600	112.650	116.600	115.850	121.700
Low	96.800	93.675	93.800	95.975	98.850	101.250	100.475	104.125	107.025	109.875	110.600	110.500
Close/Last	98.200	95.000	96.750	99.400	102.100	102.875	104.775	109.375	112.200	114.050	112.900	121.550