MRCI's ScenarioSM Study

ScenarioSM Study for October 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	38	41	41	42	43	43	43	43	43	43	43
Closed Higher	26	28	29	22	21	25	19	19	26	21	25
Exceeded High	24	24	25	17	18	18	17	19	24	17	18
Scenario Percentage	92%	86%	86%	77%	86%	72%	89%	100%	92%	81%	72%
Avg Max Increase	3.45%	4.98%	4.29%	5.18%	5.68%	5.84%	5.72%	7.43%	4.85%	6.81%	4.48%
Max Increase	9.11%	14.10%	14.44%	14.08%	20.35%	13.11%	21.44%	27.14%	13.64%	25.05%	18.26%
Avg Days To Max Increase	19	17	16	18	18	13	15	14	15	13	17
Avg Max Decline	-1.05%	-0.49%	-1.21%	-0.88%	-1.37%	-1.21%	-1.80%	-1.78%	-1.85%	-1.49%	-0.67%
Max Decline	-3.69%	-1.68%	-4.11%	-2.74%	-5.37%	-7.13%	-4.03%	-10.28%	-8.40%	-6.73%	-3.21%
Avg Days to Max Decline	11	9	6	5	6	7	10	8	5	9	4
2007 Contract Condition	Yes	Yes	Yes	Yes	Yes	Yes			Yes		Yes
Action	Yes	Yes	Yes	Yes	No	No			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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	38	41	41	42	43	43	43	43	43	43	43
Closed Lower	12	13	12	20	21	18	24	24	17	22	18
Penetrated Low	8	4	9	13	16	13	18	17	14	16	16
Scenario Percentage	67%	31%	75%	65%	76%	72%	75%	71%	82%	73%	89%
Avg Max Decline	3.72%	7.33%	6.54%	6.83%	6.25%	6.05%	5.38%	5.88%	5.00%	6.43%	8.65%
Max Decline	12.82%	13.48%	12.91%	14.73%	25.65%	22.84%	14.26%	15.45%	13.56%	23.20%	25.03%
Avg Days To Max Decline	17	16	21	18	16	19	22	19	15	11	16
Avg Max Increase	-1.01%	-1.62%	-1.47%	-0.51%	-1.19%	-1.28%	-1.76%	-2.25%	-2.21%	-1.63%	-2.26%
Max Increase	-3.67%	-2.70%	-3.39%	-1.96%	-3.76%	-2.33%	-5.22%	-6.56%	-6.02%	-4.87%	-6.42%
Avg Days to Max Increase	6	13	6	7	8	8	9	12	11	5	6
2007 Contract Condition							Yes	Yes		Yes
Action							Yes	No		Yes
High	89.700	91.050	91.275	96.400	99.450	98.400	97.225	95.550	100.000	100.225	99.000
Low	86.500	88.750	89.150	90.675	94.525	94.025	94.300	92.000	94.100	93.600	94.375
Close/Last	89.000	90.325	90.975	95.925	96.350	96.375	95.225	94.725	99.950	96.900	96.950