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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 29 34 37 38 38 40 40 40 40 40
Closed Higher   10 15 20 23 21 21 12 22 23 22 20
Exceeded High   7 13 19 16 15 16 8 20 22 18 11
Scenario Percentage   70% 87% 95% 70% 71% 76% 67% 91% 96% 82% 55%
Avg Max Increase   6.17% 4.66% 4.50% 4.04% 4.44% 5.21% 4.03% 6.10% 6.02% 6.40% 4.57%
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 17 16 22 15 17 17 14 13
Avg Max Decline   -0.71% -2.32% -0.86% -1.55% -1.68% -2.07% -1.37% -1.65% -1.42% -1.84% -0.44%
Max Decline   -1.68% -10.19% -2.93% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -1.60%
Avg Days to Max Decline   6 12 9 7 10 11 6 9 6 7 2
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   13 29 34 37 38 38 40 40 40 40 40
Closed Lower   3 14 14 14 17 17 28 17 17 18 19
Penetrated Low   1 7 10 11 10 15 19 12 11 14 11
Scenario Percentage   33% 50% 71% 79% 59% 88% 68% 71% 65% 78% 58%
Avg Max Decline   7.23% 5.16% 5.44% 5.52% 4.71% 5.30% 6.75% 8.29% 7.43% 6.36% 5.84%
Max Decline   7.23% 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   26 18 14 15 13 17 17 16 20 18 17
Avg Max Increase   0.00% -0.79% -1.23% -1.72% -1.06% -1.00% -1.82% -1.61% -1.64% -2.13% -0.39%
Max Increase   0.00% -1.73% -4.09% -5.95% -3.02% -2.93% -3.66% -7.17% -4.74% -6.48% -2.47%
Avg Days to Max Increase   2 9 9 9 5 6 12 9 9 9 4
2012 Contract Condition   Yes Yes     Yes   Yes        
Action   Yes No     No   Yes        
High 134.550 136.100 134.100 138.300 143.000 141.050 147.300 148.775 150.875 150.800 155.800 159.050
Low 134.550 132.750 124.400 125.575 134.925 133.600 134.850 143.150 144.175 142.930 149.075 153.250
Close/Last 134.550 134.100 126.800 137.000 139.700 135.475 146.325 145.550 148.175 148.800 155.530 157.235

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