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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 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   16 27 28 32 32 33 35 35 35 35 35
Closed Higher   10 11 19 19 20 25 18 19 12 21 19
Exceeded High   8 11 15 18 20 19 16 17 10 18 16
Scenario Percentage   80% 100% 79% 95% 100% 76% 89% 89% 83% 86% 84%
Avg Max Increase   6.25% 5.26% 4.79% 4.65% 5.00% 4.19% 4.31% 4.68% 4.21% 4.63% 3.36%
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   17 15 19 20 17 15 12 19 15 16 15
Avg Max Decline   -0.97% -0.99% -0.93% -2.58% -0.99% -1.40% -1.24% -1.70% -1.33% -1.86% -0.60%
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   7 10 14 11 6 7 8 9 9 10 4
2012 Contract Condition   Yes Yes     Yes Yes   Yes   Yes Yes
Action   Yes Yes     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   16 27 28 32 32 33 35 35 35 35 35
Closed Lower   5 16 9 13 12 8 17 15 23 14 15
Penetrated Low   4 12 4 6 8 6 12 15 14 10 8
Scenario Percentage   80% 75% 44% 46% 67% 75% 71% 100% 61% 71% 53%
Avg Max Decline   5.16% 3.85% 6.01% 5.62% 5.73% 4.01% 3.84% 5.91% 6.77% 7.08% 3.69%
Max Decline   6.89% 11.95% 8.92% 10.44% 10.88% 5.89% 15.43% 15.48% 14.68% 13.88% 8.52%
Avg Days To Max Decline   19 19 19 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% -2.07% -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 4 10 10 11 14 6 11 7 3
2012 Contract Condition       Yes Yes     Yes   Yes    
Action       Yes No     No   Yes    
High 128.000 131.000 137.500 138.700 136.000 139.000 143.900 141.600 146.750 148.750 149.950 147.750
Low 127.000 126.000 128.250 132.200 123.500 126.000 135.600 133.200 134.400 142.750 143.250 140.900
Close/Last 127.000 130.000 137.300 135.600 127.600 137.500 140.200 135.275 146.075 144.650 146.025 146.350

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