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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 16 27 30 32 33 33 36 36 36 36 36
Closed Higher 8 16 16 18 15 18 19 23 21 18 20
Exceeded High 7 11 12 15 11 16 19 19 17 17 13
Scenario Percentage 88% 69% 75% 83% 73% 89% 100% 83% 81% 94% 65%
Avg Max Increase 4.11% 4.03% 4.54% 4.42% 3.35% 4.75% 5.24% 5.88% 6.60% 6.49% 3.65%
Max Increase 6.75% 8.60% 10.67% 8.83% 6.51% 10.55% 17.01% 16.55% 21.46% 20.48% 11.90%
Avg Days To Max Increase 17 19 16 22 17 18 16 17 18 14 15
Avg Max Decline -0.97% -1.37% -1.50% -1.71% -0.87% -1.35% -1.21% -1.57% -2.06% -1.78% -0.45%
Max Decline -2.40% -4.48% -4.98% -9.65% -3.19% -4.84% -6.22% -5.66% -5.23% -4.62% -1.82%
Avg Days to Max Decline 8 13 8 11 5 10 11 11 10 8 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 16 27 30 32 33 33 36 36 36 36 36
Closed Lower 8 11 12 14 18 14 17 13 15 18 16
Penetrated Low 7 8 8 12 13 7 9 10 11 15 9
Scenario Percentage 88% 73% 67% 86% 72% 50% 53% 77% 73% 83% 56%
Avg Max Decline 4.66% 4.90% 2.10% 4.39% 5.66% 7.45% 6.76% 7.14% 8.36% 7.16% 3.73%
Max Decline 7.50% 13.63% 4.73% 12.36% 18.56% 17.50% 16.54% 17.19% 18.27% 17.99% 7.25%
Avg Days To Max Decline 13 15 11 17 17 22 22 20 20 13 12
Avg Max Increase -1.50% -1.36% -1.23% -1.11% -0.97% -1.13% -1.37% -1.24% -1.04% -1.57% -1.60%
Max Increase -4.57% -5.64% -3.14% -2.23% -3.22% -2.48% -3.09% -4.46% -3.22% -7.21% -9.70%
Avg Days to Max Increase 10 8 11 12 9 8 8 7 7 7 4
2007 Contract Condition       Yes Yes Yes   Yes     Yes
Action       Yes Yes No   No     Yes
High 106.500 105.600 109.450 110.500 105.750 100.700 100.800 100.800 106.250 110.250 113.250
Low 101.600 102.400 103.700 104.975 99.400 92.150 97.100 93.500 97.850 105.400 107.075
Close/Last 104.200 104.750 108.750 105.150 100.050 97.800 99.700 98.725 105.950 109.975 109.550

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