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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, 2010
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 11 26 32 33 33 35 35 37 37 37 37
Closed Higher 6 15 20 17 17 13 20 21 23 20 18
Exceeded High 6 14 14 14 14 8 18 20 19 15 15
Scenario Percentage 100% 93% 70% 82% 82% 62% 90% 95% 83% 75% 83%
Avg Max Increase 5.96% 4.78% 3.53% 3.96% 4.27% 4.26% 4.80% 5.63% 5.90% 7.63% 4.47%
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 20 19 15 14 21 19 19 15 15 13 14
Avg Max Decline -3.14% -0.89% -1.22% -1.37% -1.15% -1.33% -1.38% -1.24% -1.62% -1.49% -0.90%
Max Decline -9.58% -2.54% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.58% -4.35%
Avg Days to Max Decline 11 11 9 9 10 8 9 8 10 5 2
2009 Contract Condition Yes Yes Yes         Yes   Yes  
Action 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 11 26 32 33 33 35 35 37 37 37 37
Closed Lower 5 11 12 16 16 21 15 16 14 17 19
Penetrated Low 4 8 9 10 14 14 8 10 10 12 11
Scenario Percentage 80% 73% 75% 62% 88% 67% 53% 62% 71% 71% 58%
Avg Max Decline 3.86% 5.52% 4.96% 3.72% 5.10% 6.94% 7.84% 6.93% 7.88% 8.14% 8.28%
Max Decline 8.48% 10.47% 14.00% 14.09% 15.76% 18.71% 17.23% 15.62% 16.52% 13.35% 25.27%
Avg Days To Max Decline 23 11 14 15 20 17 17 21 22 13 17
Avg Max Increase -0.84% -1.19% -2.05% -1.13% -0.89% -1.26% -0.98% -1.54% -2.16% -0.40% -1.62%
Max Increase -3.76% -4.71% -6.32% -2.92% -2.23% -3.41% -3.15% -3.59% -6.36% -2.82% -5.67%
Avg Days to Max Increase 7 5 11 11 9 14 7 9 7 4 5
2009 Contract Condition       Yes Yes Yes Yes   Yes   Yes
Action       Yes Yes Yes Yes   Yes   No
High 112.500 116.250 116.975 118.250 111.050 104.850 101.175 95.500 98.800 98.200 95.400
Low 107.975 109.900 113.250 109.600 103.000 94.500 88.450 85.375 90.400 88.875 89.575
Close/Last 112.500 116.200 116.350 110.000 105.000 98.925 92.750 94.450 92.325 93.875 93.175

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