MRCI's ScenarioSM Study

ScenarioSM Study for June Live 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	36	40	41	42	42	43	43	43	43	43	43
Closed Higher	22	17	19	23	29	28	29	24	24	24	21
Exceeded High	14	14	18	18	24	26	22	21	19	17	13
Scenario Percentage	64%	82%	95%	78%	83%	93%	76%	88%	79%	71%	62%
Avg Max Increase	4.74%	3.18%	3.68%	4.45%	4.95%	4.80%	6.56%	6.75%	10.12%	8.19%	4.63%
Max Increase	11.99%	8.55%	7.95%	13.06%	16.47%	11.90%	17.54%	18.85%	23.53%	21.24%	9.92%
Avg Days To Max Increase	13	12	20	19	19	16	17	18	21	12	13
Avg Max Decline	-1.17%	-1.33%	-1.48%	-1.15%	-1.50%	-0.93%	-1.30%	-1.39%	-1.16%	-1.22%	-1.03%
Max Decline	-7.20%	-3.06%	-6.27%	-3.45%	-6.05%	-3.21%	-4.47%	-4.17%	-4.02%	-6.83%	-2.99%
Avg Days to Max Decline	5	10	11	11	11	8	6	6	6	6	3
2007 Contract Condition	Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action	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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	36	40	41	42	42	43	43	43	43	43	43
Closed Lower	14	23	22	18	13	15	14	18	19	19	22
Penetrated Low	12	15	17	12	10	7	10	11	18	15	13
Scenario Percentage	86%	65%	77%	67%	77%	47%	71%	61%	95%	79%	59%
Avg Max Decline	4.70%	4.57%	3.86%	4.98%	6.11%	5.83%	5.85%	8.35%	7.43%	6.27%	11.44%
Max Decline	11.00%	18.17%	9.99%	16.03%	17.00%	14.34%	12.92%	14.79%	17.07%	22.77%	42.48%
Avg Days To Max Decline	13	16	15	13	14	19	19	21	18	13	15
Avg Max Increase	-1.08%	-0.83%	-1.05%	-1.35%	-0.93%	-1.98%	-2.06%	-0.71%	-1.70%	-1.21%	-1.79%
Max Increase	-4.24%	-1.67%	-3.34%	-5.86%	-3.17%	-3.41%	-4.60%	-1.99%	-5.92%	-3.76%	-7.18%
Avg Days to Max Increase	5	7	5	9	3	11	6	6	5	7	7
2007 Contract Condition			Yes						Yes	Yes	Yes
Action			Yes						Yes	Yes	Yes
High	84.800	86.950	88.000	87.400	88.475	89.975	90.100	96.150	99.825	97.250	94.500
Low	82.600	83.550	85.100	84.250	85.400	86.650	88.250	89.350	92.775	91.950	90.275
Close/Last	84.150	86.650	85.575	86.125	87.250	89.300	89.850	95.500	94.875	94.125	91.150