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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Feeder Cattle(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   15 26 27 31 31 32 34 34 34 34 34
Closed Higher   9 10 19 19 19 24 18 18 12 20 18
Exceeded High   7 10 15 18 19 18 16 16 10 17 15
Scenario Percentage   78% 100% 79% 95% 100% 75% 89% 89% 83% 85% 83%
Avg Max Increase   6.18% 5.68% 4.79% 4.65% 5.02% 4.16% 4.31% 4.81% 4.21% 4.72% 3.28%
Max Increase   15.76% 23.36% 14.18% 9.86% 10.16% 9.97% 15.07% 12.29% 8.07% 10.33% 7.28%
Avg Days To Max Increase   18 16 19 20 18 14 12 20 15 16 15
Avg Max Decline   -0.91% -1.09% -0.93% -2.58% -1.11% -1.20% -1.24% -1.67% -1.33% -1.76% -0.65%
Max Decline   -4.25% -7.28% -3.95% -11.41% -3.46% -5.37% -5.73% -7.29% -4.34% -5.38% -2.57%
Avg Days to Max Decline   5 11 14 11 6 6 8 9 9 10 4
2011 Contract Condition   Yes Yes Yes   Yes Yes Yes     Yes Yes
Action   Yes Yes No   Yes Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   15 26 27 31 31 32 34 34 34 34 34
Closed Lower   5 16 8 12 12 8 16 15 22 14 15
Penetrated Low   4 12 3 6 8 6 12 15 13 10 8
Scenario Percentage   80% 75% 38% 50% 67% 75% 75% 100% 59% 71% 53%
Avg Max Decline   5.16% 3.85% 5.04% 5.62% 5.73% 4.01% 3.84% 5.91% 7.09% 7.08% 3.69%
Max Decline   6.89% 11.95% 7.31% 10.44% 10.88% 5.89% 15.43% 15.48% 14.68% 13.88% 8.52%
Avg Days To Max Decline   19 19 18 20 17 10 16 16 16 15 13
Avg Max Increase   -0.13% -1.56% -0.27% -0.66% -1.67% -2.13% -1.97% -1.22% -1.95% -1.38% -0.73%
Max Increase   -0.22% -6.97% -0.84% -1.76% -4.42% -6.75% -6.22% -4.88% -3.99% -3.74% -3.36%
Avg Days to Max Increase   3 8 5 10 10 11 14 6 11 7 3
2011 Contract Condition         Yes       Yes Yes    
Action         No       Yes No    
High 101.600 103.700 109.900 114.025 113.800 111.600 113.550 117.000 115.825 113.700 120.175 122.475
Low 101.300 101.600 103.500 109.900 105.400 106.000 110.250 111.575 109.100 106.650 109.850 116.875
Close/Last 101.600 103.600 109.900 112.500 106.000 111.050 113.075 114.850 112.950 110.800 119.175 121.875

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