MRCI's ScenarioSM Study

ScenarioSM Study for June Live 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		37	41	42	43	43	44	44	44	44	44	44
Closed Higher		23	17	20	23	29	29	29	25	24	25	22
Exceeded High		15	14	18	18	24	27	22	21	19	18	14
Scenario Percentage		65%	82%	90%	78%	83%	93%	76%	84%	79%	72%	64%
Avg Max Increase		4.52%	3.18%	3.68%	4.45%	4.95%	4.67%	6.56%	6.75%	10.12%	8.18%	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	13	14
Avg Max Decline		-1.28%	-1.33%	-1.48%	-1.15%	-1.50%	-1.01%	-1.30%	-1.39%	-1.16%	-1.29%	-1.21%
Max Decline		-7.20%	-3.06%	-6.27%	-3.45%	-6.05%	-3.21%	-4.47%	-4.17%	-4.02%	-6.83%	-3.65%
Avg Days to Max Decline		6	10	11	11	11	9	6	6	6	6	3
2008 Contract Condition		Yes		Yes			Yes		Yes		Yes	Yes
Action		Yes		No			Yes		No		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		37	41	42	43	43	44	44	44	44	44	44
Closed Lower		14	23	22	19	14	15	15	18	20	19	22
Penetrated Low		12	15	17	13	11	7	11	11	18	15	13
Scenario Percentage		86%	65%	77%	68%	79%	47%	73%	61%	90%	79%	59%
Avg Max Decline		4.70%	4.57%	3.86%	4.67%	5.66%	5.83%	5.99%	8.35%	7.43%	6.27%	5.34%
Max Decline		11.00%	18.17%	9.99%	16.03%	17.00%	14.34%	12.92%	14.79%	17.07%	22.77%	11.72%
Avg Days To Max Decline		13	16	15	12	15	19	20	21	18	13	14
Avg Max Increase		-1.08%	-0.83%	-1.05%	-1.27%	-1.09%	-1.98%	-2.15%	-0.71%	-1.70%	-1.21%	-0.63%
Max Increase		-4.24%	-1.67%	-3.34%	-5.86%	-3.17%	-3.41%	-4.60%	-1.99%	-5.92%	-3.76%	-2.56%
Avg Days to Max Increase		5	7	5	8	6	11	8	6	5	7	2
2008 Contract Condition					Yes	Yes		Yes		Yes
Action					Yes	Yes		Yes		No
High	95.000	96.000	96.000	97.350	96.750	94.700	95.200	95.600	96.350	95.450	93.950	97.100
Low	93.000	94.000	93.250	95.400	93.300	92.600	92.900	92.000	93.000	86.650	87.150	91.025
Close/Last	95.000	96.000	96.000	97.025	93.500	93.025	95.025	93.525	95.325	87.750	93.475	96.525