MRCI's ScenarioSM Study

ScenarioSM Study for October 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	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	33	26	23	26	20	24	28	20	26
Exceeded High		27	28	29	20	20	19	17	23	25	17	19
Scenario Percentage		93%	88%	88%	77%	87%	73%	85%	96%	89%	85%	73%
Avg Max Increase		3.60%	5.00%	4.30%	4.96%	5.29%	5.57%	6.20%	6.92%	4.90%	6.76%	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		20	18	16	18	17	15	16	14	15	14	16
Avg Max Decline		-1.21%	-0.55%	-1.20%	-1.15%	-1.29%	-1.26%	-1.90%	-1.79%	-1.88%	-1.52%	-0.64%
Max Decline		-3.97%	-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	9	11	8	6	10	4
2012 Contract Condition		Yes	Yes	Yes	Yes			Yes	Yes		Yes
Action		Yes	Yes	Yes	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	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	11	18	22	19	25	21	16	25	19
Penetrated Low		9	4	9	12	16	13	19	15	14	18	12
Scenario Percentage		69%	33%	82%	67%	73%	68%	76%	71%	88%	72%	63%
Avg Max Decline		4.12%	7.33%	6.36%	6.57%	6.18%	6.53%	5.17%	6.21%	5.39%	6.96%	3.79%
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	17	17	20	19	15	11	11
Avg Max Increase		-0.73%	-1.62%	-1.74%	-0.47%	-1.18%	-1.18%	-1.75%	-2.42%	-2.25%	-1.69%	-0.99%
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	7	7	9	8	9	13	9	5	2
2012 Contract Condition						Yes	Yes					Yes
Action						Yes	No					Not Yet
High	128.775	129.800	129.200	132.400	134.280	135.000	126.780	127.050	125.800	126.480	127.230	128.780
Low	123.450	125.800	123.085	128.300	131.500	125.380	119.500	120.730	119.650	119.600	123.350	121.530
Close/Last	126.950	128.175	128.400	132.385	134.050	125.600	121.150	123.700	124.400	124.400	126.030	122.085