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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 9 24 30 31 31 33 33 35 35 35 35
Closed Higher 5 13 18 16 17 13 20 20 23 19 18
Exceeded High 5 12 12 13 14 8 18 19 19 14 15
Scenario Percentage 100% 92% 67% 81% 82% 62% 90% 95% 83% 74% 83%
Avg Max Increase 6.35% 4.99% 3.83% 4.18% 4.27% 4.26% 4.80% 5.69% 5.90% 7.56% 4.36%
Max Increase 9.27% 9.99% 8.89% 10.58% 8.15% 7.62% 10.71% 16.45% 18.88% 21.09% 13.09%
Avg Days To Max Increase 22 20 17 15 21 19 19 16 15 12 13
Avg Max Decline -3.31% -0.79% -1.26% -1.49% -1.15% -1.33% -1.38% -1.35% -1.62% -1.27% -0.90%
Max Decline -9.58% -2.20% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.57% -4.35%
Avg Days to Max Decline 11 10 10 9 10 8 9 8 10 4 2
2007 Contract Condition   Yes Yes Yes       Yes   Yes Yes
Action   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 9 24 30 31 31 33 33 35 35 35 35
Closed Lower 4 11 12 15 14 19 13 15 12 16 17
Penetrated Low 3 8 9 9 12 12 6 9 8 11 10
Scenario Percentage 75% 73% 75% 60% 86% 63% 46% 60% 67% 69% 59%
Avg Max Decline 4.39% 5.52% 4.96% 2.57% 4.30% 6.64% 8.03% 7.01% 8.05% 7.97% 8.87%
Max Decline 8.48% 10.47% 14.00% 4.94% 13.38% 18.71% 17.23% 15.62% 16.52% 13.35% 25.27%
Avg Days To Max Decline 24 11 14 14 19 19 20 22 21 14 19
Avg Max Increase -0.94% -1.19% -2.05% -1.14% -1.00% -1.16% -1.11% -1.77% -1.69% -0.56% -1.68%
Max Increase -3.76% -4.71% -6.32% -2.92% -2.23% -3.41% -3.15% -3.59% -5.10% -2.82% -5.67%
Avg Days to Max Increase 7 5 11 12 10 13 8 9 6 4 5
2007 Contract Condition         Yes Yes Yes   Yes    
Action         Yes Yes No   No    
High 101.600 108.000 105.750 109.600 110.550 106.000 100.900 100.500 100.100 104.600 109.225
Low 99.500 101.200 102.500 103.900 105.150 99.625 91.300 96.000 92.250 96.650 103.550
Close/Last 101.600 104.400 104.800 109.000 105.400 99.900 97.250 98.900 97.950 104.150 108.750

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