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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Feeder Cattle(CME) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 10 26 31 34 35 35 37 37 37 37 37
Closed Higher 8 14 18 20 20 20 12 20 20 19 17
Exceeded High 6 12 17 14 15 15 8 18 19 15 8
Scenario Percentage 75% 86% 94% 70% 75% 75% 67% 90% 95% 79% 47%
Avg Max Increase 6.85% 4.81% 4.47% 3.94% 4.44% 5.36% 4.03% 6.01% 5.91% 6.75% 5.06%
Max Increase 13.41% 8.56% 9.73% 9.12% 11.69% 8.82% 5.76% 22.42% 15.82% 16.68% 10.89%
Avg Days To Max Increase 20 19 19 16 16 22 15 16 16 14 13
Avg Max Decline -0.64% -2.09% -0.97% -1.39% -1.68% -2.06% -1.37% -1.53% -1.53% -1.72% -0.51%
Max Decline -1.68% -10.19% -2.93% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -1.37%
Avg Days to Max Decline 7 12 9 6 10 12 6 9 7 7 2
2009 Contract Condition Yes Yes Yes           Yes   Yes
Action Yes Yes Yes           Yes   Not Yet
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 10 26 31 34 35 35 37 37 37 37 37
Closed Lower 2 12 13 14 15 15 25 16 17 18 19
Penetrated Low   7 10 11 9 13 17 11 11 14 14
Scenario Percentage 0% 58% 77% 79% 60% 87% 68% 69% 65% 78% 74%
Avg Max Decline   5.16% 5.44% 5.52% 4.68% 5.34% 7.16% 8.78% 7.43% 6.35% 10.84%
Max Decline   9.41% 10.51% 14.35% 14.82% 15.42% 17.94% 16.94% 15.28% 12.39% 33.13%
Avg Days To Max Decline   18 14 15 14 18 17 17 20 17 21
Avg Max Increase   -0.79% -1.23% -1.72% -0.90% -1.07% -1.70% -1.65% -1.64% -2.13% -1.07%
Max Increase   -1.73% -4.09% -5.95% -3.02% -2.93% -3.32% -7.17% -4.74% -6.48% -7.36%
Avg Days to Max Increase   9 9 9 4 7 12 10 9 9 5
2009 Contract Condition       Yes Yes Yes Yes Yes   Yes  
Action       Yes Yes Yes Yes Yes   Yes  
High 109.500 113.725 116.150 116.950 118.050 111.025 104.875 101.200 94.600 97.900 96.900
Low 103.000 107.100 109.500 112.750 109.400 102.800 93.700 88.050 84.100 89.150 87.600
Close/Last 108.600 113.300 116.150 116.000 110.000 104.100 98.525 92.225 93.675 91.000 92.600

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