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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 8 28 32 33 33 35 35 36 36 36 36
Closed Higher 5 11 20 20 23 19 17 22 20 21 23
Exceeded High 5 6 18 19 19 13 14 18 17 19 19
Scenario Percentage 100% 55% 90% 95% 83% 68% 82% 82% 85% 90% 83%
Avg Max Increase 4.67% 3.81% 4.33% 5.29% 4.73% 6.87% 6.93% 5.96% 7.22% 6.49% 4.22%
Max Increase 7.56% 6.02% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 12.08% 13.56%
Avg Days To Max Increase 22 13 20 16 15 18 19 19 19 16 16
Avg Max Decline -1.32% -1.21% -1.07% -0.88% -1.28% -1.41% -1.31% -1.36% -1.51% -1.37% -1.04%
Max Decline -2.86% -3.21% -4.34% -5.57% -4.41% -5.00% -2.71% -3.56% -4.14% -4.71% -2.83%
Avg Days to Max Decline 17 7 9 11 8 6 14 11 9 6 3
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 8 28 32 33 33 35 35 36 36 36 36
Closed Lower 2 17 12 13 10 16 18 14 16 15 13
Penetrated Low 2 10 6 7 7 13 15 8 9 10 11
Scenario Percentage 100% 59% 50% 54% 70% 81% 83% 57% 56% 67% 85%
Avg Max Decline 4.30% 5.36% 7.54% 5.28% 7.76% 6.17% 6.38% 7.53% 9.89% 5.65% 8.59%
Max Decline 6.29% 15.87% 15.49% 8.18% 16.93% 18.30% 12.76% 29.63% 15.85% 10.89% 43.47%
Avg Days To Max Decline 22 16 22 15 19 18 17 18 19 14 11
Avg Max Increase -1.68% -0.65% -0.51% -1.14% -0.98% -0.67% -1.62% -1.76% -1.35% -2.32% -2.46%
Max Increase -1.81% -2.35% -1.05% -2.29% -4.22% -2.00% -7.40% -4.29% -3.03% -6.78% -16.02%
Avg Days to Max Increase 16 6 5 5 6 5 9 10 11 7 9
2007 Contract Condition   Yes Yes   Yes       Yes    
Action   Yes No   No       Yes    
High 110.950 107.675 103.500 103.875 103.550 106.500 111.200 114.000 114.400 111.900 117.650
Low 106.800 102.250 95.600 100.000 96.600 99.700 105.350 109.250 108.900 105.500 110.700
Close/Last 107.050 102.850 100.850 102.300 100.625 106.250 111.025 112.850 111.425 111.550 117.350

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