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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 10 30 34 35 35 37 37 38 38 38 38
Closed Higher 6 11 20 21 24 21 17 24 22 22 24
Exceeded High 5 6 18 20 20 14 14 20 18 20 20
Scenario Percentage 83% 55% 90% 95% 83% 67% 82% 83% 82% 91% 83%
Avg Max Increase 4.67% 3.81% 4.33% 5.25% 4.58% 6.68% 6.93% 5.92% 6.99% 6.23% 4.10%
Max Increase 7.56% 6.02% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 11.71% 13.56%
Avg Days To Max Increase 22 13 20 15 15 18 19 20 19 15 15
Avg Max Decline -1.32% -1.21% -1.07% -0.81% -1.28% -1.58% -1.31% -1.55% -1.83% -1.37% -0.98%
Max Decline -2.86% -3.21% -4.34% -5.57% -4.41% -5.00% -2.71% -5.22% -7.20% -4.71% -2.83%
Avg Days to Max Decline 17 7 9 10 8 6 14 12 9 6 3
2009 Contract Condition       Yes   Yes   Yes Yes Yes  
Action       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 10 30 34 35 35 37 37 38 38 38 38
Closed Lower 3 19 14 14 11 16 20 14 16 16 14
Penetrated Low 3 12 8 8 8 13 16 8 9 10 12
Scenario Percentage 100% 63% 57% 57% 73% 81% 80% 57% 56% 62% 86%
Avg Max Decline 7.88% 5.86% 7.17% 5.08% 7.08% 6.17% 6.14% 7.53% 9.89% 5.65% 8.12%
Max Decline 15.04% 15.87% 15.49% 8.18% 16.93% 18.30% 12.76% 29.63% 15.85% 10.89% 43.47%
Avg Days To Max Decline 21 16 19 14 19 18 16 18 19 14 11
Avg Max Increase -1.07% -0.75% -0.36% -1.04% -1.53% -0.67% -1.58% -1.76% -1.35% -2.32% -2.22%
Max Increase -1.81% -2.35% -1.05% -2.29% -5.44% -2.00% -7.40% -4.29% -3.03% -6.78% -16.02%
Avg Days to Max Increase 11 7 5 6 6 5 9 10 11 7 8
2009 Contract Condition Yes Yes Yes   Yes   Yes       Yes
Action Yes Yes Yes   Yes   No       Yes
High 113.175 107.250 103.700 98.100 101.750 101.300 100.025 102.775 103.200 103.425 104.925
Low 105.500 97.700 91.250 88.250 94.225 93.800 95.000 96.200 97.800 94.425 101.425
Close/Last 107.400 101.600 95.550 97.450 96.075 98.700 96.825 99.625 101.750 102.825 102.350

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