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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   12 28 33 36 37 37 39 39 39 39 39
Closed Higher   10 15 19 22 21 20 12 21 22 21 19
Exceeded High   7 13 18 15 15 15 8 19 21 17 10
Scenario Percentage   70% 87% 95% 68% 71% 75% 67% 90% 95% 81% 53%
Avg Max Increase   6.17% 4.66% 4.51% 3.95% 4.44% 5.36% 4.03% 6.15% 5.98% 6.67% 4.85%
Max Increase   13.41% 8.56% 9.73% 9.12% 11.69% 8.82% 5.76% 22.42% 15.82% 16.68% 10.89%
Avg Days To Max Increase   20 18 19 16 16 22 15 16 17 16 16
Avg Max Decline   -0.71% -2.32% -0.96% -1.36% -1.68% -2.06% -1.37% -1.55% -1.50% -1.86% -0.72%
Max Decline   -1.68% -10.19% -2.93% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -3.08%
Avg Days to Max Decline   6 12 10 5 10 12 6 9 6 7 3
2011 Contract Condition   Yes   Yes Yes Yes     Yes Yes Yes Yes
Action   No   Yes Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   12 28 33 36 37 37 39 39 39 39 39
Closed Lower   2 13 14 14 16 17 27 17 17 18 19
Penetrated Low     7 10 11 10 15 18 12 11 14 11
Scenario Percentage   0% 54% 71% 79% 63% 88% 67% 71% 65% 78% 58%
Avg Max Decline     5.16% 5.44% 5.52% 4.71% 5.30% 7.03% 8.29% 7.43% 6.38% 5.86%
Max Decline     9.41% 10.51% 14.35% 14.82% 15.42% 17.94% 16.94% 15.28% 12.39% 9.34%
Avg Days To Max Decline     18 14 15 13 17 17 16 20 18 18
Avg Max Increase     -0.79% -1.23% -1.72% -1.06% -1.00% -1.72% -1.61% -1.64% -2.13% -0.39%
Max Increase     -1.73% -4.09% -5.95% -3.02% -2.93% -3.32% -7.17% -4.74% -6.48% -2.47%
Avg Days to Max Increase     9 9 9 5 6 11 9 9 9 4
2011 Contract Condition     Yes       Yes Yes        
Action     No       Yes No        
High 107.000 112.600 112.450 111.300 112.300 116.400 114.925 113.800 120.550 124.950 130.025 131.900
Low 107.000 107.000 105.000 105.800 109.800 110.750 109.100 107.400 110.750 117.675 122.000 122.775
Close/Last 107.000 111.400 105.800 110.600 111.850 114.450 112.700 111.600 119.775 123.950 128.000 130.075

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