MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		37	44	45	45	45	45	45	45	45	45	45
Closed Higher		25	24	22	23	21	25	26	21	26	24	27
Exceeded High		21	19	19	18	18	23	20	19	23	18	19
Scenario Percentage		84%	79%	86%	78%	86%	92%	77%	90%	88%	75%	70%
Avg Max Increase		3.59%	4.04%	4.19%	5.27%	5.38%	6.53%	4.61%	5.63%	5.26%	5.88%	3.25%
Max Increase		12.47%	13.33%	21.08%	13.31%	23.89%	27.74%	10.78%	17.67%	16.89%	10.63%	8.00%
Avg Days To Max Increase		15	17	15	17	20	19	17	18	19	15	16
Avg Max Decline		-1.32%	-1.14%	-0.97%	-1.29%	-1.66%	-1.35%	-1.83%	-1.57%	-1.61%	-1.02%	-1.35%
Max Decline		-3.93%	-4.31%	-5.65%	-7.18%	-3.67%	-6.93%	-9.56%	-7.78%	-5.36%	-2.91%	-6.01%
Avg Days to Max Decline		9	9	7	9	13	6	7	9	10	6	5
2012 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		37	44	45	45	45	45	45	45	45	45	45
Closed Lower		10	20	23	22	23	20	19	24	19	21	18
Penetrated Low		7	10	14	15	15	16	15	16	17	15	12
Scenario Percentage		70%	50%	61%	68%	65%	80%	79%	67%	89%	71%	67%
Avg Max Decline		6.10%	6.77%	6.48%	5.49%	5.63%	5.43%	5.29%	6.74%	5.31%	6.75%	4.65%
Max Decline		11.87%	14.48%	27.03%	22.79%	13.42%	14.82%	13.62%	23.20%	17.43%	15.03%	8.88%
Avg Days To Max Decline		23	20	16	17	18	18	15	11	14	11	13
Avg Max Increase		-1.33%	-0.61%	-0.82%	-1.01%	-1.61%	-2.22%	-1.62%	-1.12%	-2.04%	-2.01%	-0.53%
Max Increase		-3.55%	-1.39%	-2.08%	-3.46%	-5.68%	-5.92%	-4.54%	-3.45%	-5.33%	-7.24%	-1.55%
Avg Days to Max Increase		7	10	8	9	7	14	6	5	9	8	3
2012 Contract Condition				Yes	Yes					Yes
Action				Yes	No					No
High	129.800	132.950	135.000	135.550	128.930	129.385	129.100	129.400	129.350	131.325	128.325	129.180
Low	123.900	129.000	132.250	126.800	122.000	123.650	122.930	123.585	126.630	123.950	124.335	124.550
Close/Last	129.500	132.930	134.950	127.100	124.050	126.500	127.400	127.480	128.650	124.700	125.930	126.730