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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Feeder 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   12 34 37 40 41 41 41 41 41 41 41
Closed Higher   5 22 26 25 18 26 25 23 26 24 20
Exceeded High   5 22 23 17 16 19 19 22 21 21 14
Scenario Percentage   100% 100% 88% 68% 89% 73% 76% 96% 81% 88% 70%
Avg Max Increase   6.82% 5.26% 4.60% 6.15% 5.34% 5.97% 6.71% 7.03% 4.70% 4.96% 2.86%
Max Increase   10.29% 14.38% 15.47% 13.16% 24.60% 17.00% 17.69% 33.68% 13.80% 17.30% 10.87%
Avg Days To Max Increase   25 15 15 18 17 21 22 16 14 12 11
Avg Max Decline   -1.06% -0.61% -1.05% -1.11% -1.08% -1.15% -1.90% -1.39% -1.83% -1.37% -0.65%
Max Decline   -2.63% -5.45% -3.21% -5.02% -2.84% -3.10% -7.28% -4.59% -6.61% -7.38% -2.04%
Avg Days to Max Decline   9 7 7 7 6 10 11 9 6 3 3
2012 Contract Condition   Yes Yes Yes Yes   Yes Yes     Yes  
Action   Yes Yes Yes Yes   Yes No     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   12 34 37 40 41 41 41 41 41 41 41
Closed Lower   7 12 11 15 23 15 16 17 15 17 20
Penetrated Low   4 6 7 12 17 9 12 12 11 12 13
Scenario Percentage   57% 50% 64% 80% 74% 60% 75% 71% 73% 71% 65%
Avg Max Decline   5.19% 5.41% 7.71% 5.78% 6.67% 7.92% 6.63% 6.75% 6.97% 6.23% 3.54%
Max Decline   9.34% 8.12% 16.84% 14.96% 30.86% 31.86% 13.63% 12.55% 24.37% 16.33% 8.22%
Avg Days To Max Decline   15 21 23 18 17 12 16 15 13 11 11
Avg Max Increase   -0.07% -1.11% -1.57% -0.66% -1.64% -0.76% -1.21% -1.69% -3.00% -1.16% -1.10%
Max Increase   -0.68% -2.26% -5.30% -1.74% -6.89% -2.02% -4.47% -4.73% -7.79% -4.23% -4.09%
Avg Days to Max Increase   3 7 8 4 9 4 5 9 9 3 2
2012 Contract Condition           Yes     Yes Yes   Yes
Action           Yes     Yes No   Yes
High 147.850 153.500 153.350 159.600 162.750 163.700 159.750 163.735 163.450 155.600 147.100 148.150
Low 147.425 147.000 148.100 152.985 158.500 154.000 151.550 155.900 149.635 138.300 139.530 143.235
Close/Last 147.425 152.100 152.500 159.600 162.650 154.030 156.150 159.250 156.235 141.825 146.680 143.800

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