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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 10 28 34 34 37 37 38 38 38 38 38
Closed Higher 5 15 20 23 21 16 24 22 22 24 22
Exceeded High 4 13 20 20 14 14 18 18 20 20 12
Scenario Percentage 80% 87% 100% 87% 67% 88% 75% 82% 91% 83% 55%
Avg Max Increase 3.83% 4.83% 4.84% 4.53% 6.12% 6.12% 6.08% 7.01% 5.86% 5.43% 4.75%
Max Increase 6.11% 11.41% 14.86% 16.98% 13.74% 23.29% 15.76% 15.98% 10.82% 13.26% 13.04%
Avg Days To Max Increase 6 19 14 14 19 17 18 22 16 13 15
Avg Max Decline -0.73% -0.74% -0.69% -1.02% -1.35% -0.97% -1.09% -1.94% -1.44% -1.63% -0.64%
Max Decline -2.20% -2.72% -6.06% -3.61% -4.67% -2.50% -3.12% -6.69% -4.86% -6.34% -1.79%
Avg Days to Max Decline 7 11 8 7 5 7 9 10 7 5 2
2009 Contract Condition     Yes   Yes   Yes Yes Yes Yes  
Action     Yes   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 10 28 34 34 37 37 38 38 38 38 38
Closed Lower 5 13 13 11 16 21 14 16 16 14 15
Penetrated Low 4 8 7 7 14 15 8 11 10 10 11
Scenario Percentage 80% 62% 54% 64% 88% 71% 57% 69% 62% 71% 73%
Avg Max Decline 4.56% 6.09% 5.18% 7.51% 5.67% 5.95% 7.54% 8.47% 6.44% 6.02% 8.72%
Max Decline 11.88% 14.00% 7.91% 16.56% 16.03% 12.14% 29.88% 15.13% 12.06% 22.58% 30.07%
Avg Days To Max Decline 16 19 16 22 17 16 17 18 15 15 18
Avg Max Increase -1.21% -0.55% -1.02% -1.60% -0.67% -1.55% -1.22% -1.27% -1.84% -2.92% -1.72%
Max Increase -2.56% -1.99% -2.32% -5.25% -1.94% -8.09% -3.24% -4.09% -5.51% -8.36% -5.88%
Avg Days to Max Increase 13 7 6 7 4 9 10 5 9 14 7
2009 Contract Condition Yes Yes   Yes   Yes         Yes
Action Yes Yes   Yes   No         Yes
High 106.800 103.200 98.000 101.750 101.250 100.200 102.925 103.300 102.850 105.000 102.650
Low 99.800 92.100 89.000 94.800 94.500 95.525 97.150 98.150 94.900 101.000 97.200
Close/Last 101.000 96.025 97.750 96.200 99.000 97.875 99.800 101.700 101.800 102.550 97.250

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