MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		38	40	41	43	43	43	44	44	44	44	44
Closed Higher		18	19	26	29	25	21	23	25	21	19	24
Exceeded High		16	15	25	28	20	18	20	20	18	17	19
Scenario Percentage		89%	79%	96%	97%	80%	86%	87%	80%	86%	89%	79%
Avg Max Increase		2.80%	3.59%	4.17%	4.43%	4.70%	5.80%	8.28%	6.70%	6.48%	7.40%	3.98%
Max Increase		5.28%	8.67%	19.17%	12.63%	16.50%	15.89%	22.50%	20.21%	16.21%	25.20%	9.32%
Avg Days To Max Increase		18	15	17	15	16	19	22	14	18	13	14
Avg Max Decline		-1.66%	-0.81%	-1.13%	-0.85%	-1.16%	-1.37%	-1.21%	-1.55%	-2.03%	-1.56%	-0.99%
Max Decline		-6.31%	-3.36%	-3.71%	-4.32%	-3.95%	-6.96%	-4.08%	-5.48%	-5.01%	-5.02%	-3.43%
Avg Days to Max Decline		11	8	8	7	6	6	7	8	13	9	3
2008 Contract Condition		Yes			Yes		Yes		Yes	Yes	Yes
Action		No			Yes		Yes		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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		38	40	41	43	43	43	44	44	44	44	44
Closed Lower		18	20	15	13	18	22	20	18	22	25	19
Penetrated Low		14	13	11	7	13	14	18	14	15	19	8
Scenario Percentage		78%	65%	73%	54%	72%	64%	90%	78%	68%	76%	42%
Avg Max Decline		3.55%	4.17%	5.02%	5.46%	5.86%	6.69%	6.37%	6.59%	7.11%	6.00%	3.42%
Max Decline		10.78%	16.33%	17.02%	14.82%	12.84%	14.09%	23.21%	26.75%	19.32%	16.00%	7.32%
Avg Days To Max Decline		15	13	17	19	21	20	18	19	20	12	10
Avg Max Increase		-0.90%	-0.64%	-1.10%	-1.78%	-1.48%	-0.71%	-1.53%	-1.46%	-1.54%	-1.58%	-1.17%
Max Increase		-2.35%	-2.07%	-3.29%	-3.40%	-3.54%	-2.22%	-5.21%	-3.01%	-3.58%	-4.35%	-7.13%
Avg Days to Max Increase		4	3	7	12	7	7	10	11	6	7	3
2008 Contract Condition			Yes	Yes		Yes		Yes				Yes
Action			Yes	No		Yes		No				Not Yet
High	94.700	96.450	95.800	95.425	96.500	97.450	98.650	98.650	99.475	102.175	106.150	104.700
Low	92.300	94.250	93.750	93.350	93.750	94.500	96.000	91.600	92.650	97.025	98.800	96.750
Close/Last	94.650	95.925	94.000	93.775	96.400	96.300	98.575	92.950	98.975	101.850	103.425	98.400