MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		42	43	44	44	44	44	45	45	45	45	45
Closed Higher		20	21	28	31	26	22	23	26	19	23	25
Exceeded High		18	17	27	30	21	19	20	20	16	21	20
Scenario Percentage		90%	81%	96%	97%	81%	86%	87%	77%	84%	91%	80%
Avg Max Increase		3.06%	3.76%	4.31%	4.53%	4.73%	5.82%	7.63%	6.32%	7.13%	7.06%	4.37%
Max Increase		6.97%	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		19	16	18	15	17	18	20	14	20	14	15
Avg Max Decline		-1.70%	-0.80%	-1.34%	-0.88%	-1.21%	-1.51%	-1.23%	-1.57%	-2.22%	-1.69%	-1.00%
Max Decline		-6.31%	-3.36%	-4.06%	-4.32%	-3.95%	-6.96%	-4.08%	-5.48%	-5.01%	-5.02%	-3.43%
Avg Days to Max Decline		10	7	8	8	8	6	5	8	14	10	3
2012 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes			Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	No			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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		42	43	44	44	44	44	45	45	45	45	45
Closed Lower		20	21	16	12	18	22	21	19	25	22	19
Penetrated Low		16	14	12	7	14	15	18	14	18	17	9
Scenario Percentage		80%	67%	75%	58%	78%	68%	86%	74%	72%	77%	47%
Avg Max Decline		4.32%	4.99%	5.24%	5.46%	5.43%	6.99%	6.23%	7.08%	6.31%	6.39%	3.31%
Max Decline		17.36%	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		14	13	16	19	20	20	18	17	18	12	10
Avg Max Increase		-0.75%	-0.74%	-0.95%	-1.78%	-1.54%	-0.75%	-1.48%	-1.41%	-1.42%	-1.58%	-1.11%
Max Increase		-2.35%	-2.07%	-3.29%	-3.40%	-3.97%	-2.22%	-5.21%	-3.01%	-3.58%	-4.35%	-7.13%
Avg Days to Max Increase		3	3	7	12	7	7	10	11	5	7	3
2012 Contract Condition								Yes	Yes			Yes
Action								Yes	No			Not Yet
High	123.600	125.600	126.775	127.550	126.900	129.575	130.680	130.450	120.700	122.430	121.230	120.500
Low	120.000	120.775	121.000	123.550	120.450	125.500	128.000	119.500	114.350	115.200	115.335	115.430
Close/Last	123.000	123.500	124.675	125.550	125.900	129.280	129.680	119.680	116.200	118.900	120.450	118.885