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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, 2013
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 Apr
Tested Years   20 32 35 37 38 38 41 41 41 41 41
Closed Higher   11 21 18 20 16 20 23 27 25 20 23
Exceeded High   10 16 13 16 12 18 23 23 21 19 14
Scenario Percentage   91% 76% 72% 80% 75% 90% 100% 85% 84% 95% 61%
Avg Max Increase   4.08% 3.66% 4.27% 4.35% 3.94% 4.99% 5.44% 5.90% 6.54% 5.96% 3.60%
Max Increase   6.75% 8.60% 10.67% 8.83% 10.43% 10.55% 17.01% 16.55% 21.46% 20.48% 11.90%
Avg Days To Max Increase   16 18 15 22 18 19 16 17 15 13 15
Avg Max Decline   -0.86% -1.41% -1.38% -1.75% -0.85% -1.45% -1.15% -1.60% -1.98% -1.65% -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   9 11 8 11 5 10 10 10 9 7 2
2012 Contract Condition   Yes Yes   Yes   Yes Yes Yes Yes   Yes
Action   Yes Yes   Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   20 32 35 37 38 38 41 41 41 41 41
Closed Lower   9 11 15 17 22 17 18 14 16 21 18
Penetrated Low   7 8 10 15 16 10 10 11 12 16 10
Scenario Percentage   78% 73% 67% 88% 73% 59% 56% 79% 75% 76% 56%
Avg Max Decline   4.66% 4.90% 3.51% 5.17% 5.83% 6.68% 6.60% 6.86% 8.54% 6.83% 4.18%
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 17 15 18 21 20 21 13 12
Avg Max Increase   -1.50% -1.36% -1.23% -0.95% -1.10% -0.88% -1.19% -1.62% -0.87% -1.51% -0.63%
Max Increase   -4.57% -5.64% -3.14% -2.23% -3.22% -2.48% -3.09% -5.49% -3.22% -7.21% -1.30%
Avg Days to Max Increase   10 8 10 10 10 6 7 7 7 6 3
2012 Contract Condition       Yes   Yes         Yes  
Action       No   No         Yes  
High 126.650 137.500 142.800 141.000 147.650 149.100 152.300 152.150 158.500 162.350 163.400 153.650
Low 126.000 125.000 135.750 134.750 135.750 144.000 145.200 145.135 151.385 157.075 149.000 146.200
Close/Last 126.000 137.250 139.700 136.000 147.600 146.500 150.000 151.135 158.325 161.885 149.135 149.825

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