MRCI's ScenarioSM Study

ScenarioSM Study for October Live Cattle(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		42	44	44	44	45	45	45	45	45	45	45
Closed Higher		29	32	32	25	23	27	20	23	28	20	26
Exceeded High		27	28	28	19	20	20	18	22	25	17	19
Scenario Percentage		93%	88%	88%	76%	87%	74%	90%	96%	89%	85%	73%
Avg Max Increase		3.60%	4.93%	4.39%	5.14%	5.29%	5.55%	5.88%	7.13%	4.90%	6.68%	4.28%
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	17	18	17	15	16	14	15	13	16
Avg Max Decline		-1.09%	-0.54%	-1.22%	-1.25%	-1.29%	-1.23%	-1.86%	-1.70%	-1.88%	-1.50%	-0.64%
Max Decline		-3.69%	-1.68%	-4.11%	-5.63%	-5.37%	-7.13%	-4.03%	-10.28%	-8.40%	-6.73%	-3.21%
Avg Days to Max Decline		11	9	8	8	7	8	10	7	6	10	4
2011 Contract Condition		Yes	Yes	Yes	Yes	Yes			Yes	Yes		Yes
Action		Yes	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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		42	44	44	44	45	45	45	45	45	45	45
Closed Lower		13	12	12	19	22	18	25	22	17	25	19
Penetrated Low		9	4	10	12	15	13	19	16	15	18	13
Scenario Percentage		69%	33%	83%	63%	68%	72%	76%	73%	88%	72%	68%
Avg Max Decline		4.12%	7.33%	6.16%	6.57%	6.26%	6.53%	5.17%	5.97%	5.19%	6.96%	3.77%
Max Decline		12.82%	13.48%	12.91%	14.73%	25.65%	22.84%	14.26%	15.45%	13.56%	23.20%	12.03%
Avg Days To Max Decline		16	16	21	18	16	17	20	19	15	11	12
Avg Max Increase		-0.73%	-1.62%	-1.68%	-0.47%	-1.20%	-1.18%	-1.75%	-2.33%	-2.24%	-1.69%	-0.92%
Max Increase		-3.67%	-2.70%	-3.63%	-1.96%	-3.76%	-2.33%	-5.22%	-6.56%	-6.02%	-4.87%	-5.55%
Avg Days to Max Increase		6	13	6	7	9	8	9	13	11	5	2
2011 Contract Condition							Yes	Yes			Yes
Action							Yes	Yes			No
High	105.800	108.900	112.250	118.100	121.500	125.475	126.375	121.025	119.800	121.800	121.075	122.500
Low	100.275	104.000	106.800	110.150	116.300	115.100	119.225	109.525	108.100	114.200	113.450	113.500
Close/Last	104.725	108.825	112.000	117.525	119.950	125.400	120.725	111.075	117.200	117.325	114.025	122.150