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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, 2010
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 17 29 32 34 35 35 38 38 38 38 38
Closed Higher 9 18 17 19 15 18 20 24 22 18 22
Exceeded High 8 13 13 15 11 16 20 20 18 17 14
Scenario Percentage 89% 72% 76% 79% 73% 89% 100% 83% 82% 94% 64%
Avg Max Increase 3.82% 3.67% 4.27% 4.42% 3.35% 4.75% 5.21% 5.68% 6.55% 6.44% 3.54%
Max Increase 6.75% 8.60% 10.67% 8.83% 6.51% 10.55% 17.01% 16.55% 21.46% 19.62% 11.90%
Avg Days To Max Increase 16 17 15 22 17 18 16 17 17 13 15
Avg Max Decline -1.16% -1.32% -1.38% -1.71% -0.87% -1.35% -1.19% -1.54% -2.18% -1.78% -0.50%
Max Decline -2.45% -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 10 11 8 11 5 10 10 11 10 8 2
2009 Contract Condition Yes Yes         Yes   Yes   Yes
Action Yes Yes         Yes   Yes   Not Yet
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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 17 29 32 34 35 35 38 38 38 38 38
Closed Lower 8 11 13 15 20 16 18 14 16 20 16
Penetrated Low 7 8 9 13 15 9 10 11 12 15 9
Scenario Percentage 88% 73% 69% 87% 75% 56% 56% 79% 75% 75% 56%
Avg Max Decline 4.66% 4.90% 3.37% 5.29% 6.01% 7.22% 6.60% 6.86% 8.54% 7.16% 3.73%
Max Decline 7.50% 13.63% 13.50% 16.11% 18.56% 17.50% 16.54% 17.19% 18.27% 17.99% 7.25%
Avg Days To Max Decline 13 15 12 18 16 19 21 20 21 13 12
Avg Max Increase -1.50% -1.36% -1.23% -1.03% -1.08% -0.87% -1.19% -1.62% -0.87% -1.57% -1.60%
Max Increase -4.57% -5.64% -3.14% -2.23% -3.22% -2.48% -3.09% -5.49% -3.22% -7.21% -9.70%
Avg Days to Max Increase 10 8 10 11 10 6 7 7 7 7 4
2009 Contract Condition     Yes Yes Yes Yes   Yes   Yes  
Action     Yes Yes Yes Yes   Yes   Not Yet  
High 116.150 116.900 118.250 111.800 105.500 102.000 96.600 100.075 99.500 97.175 100.950
Low 112.750 113.250 109.900 104.050 95.500 88.500 86.500 92.200 90.500 91.400 93.600
Close/Last 116.100 116.400 110.400 105.500 99.550 93.500 95.600 94.325 95.500 94.250 98.575

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