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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 8 26 32 32 35 35 36 36 36 36 36
Closed Higher 5 15 19 22 19 16 22 20 21 22 22
Exceeded High 4 13 19 19 13 14 16 17 19 19 12
Scenario Percentage 80% 87% 100% 86% 68% 88% 73% 85% 90% 86% 55%
Avg Max Increase 3.83% 4.83% 4.88% 4.65% 6.28% 6.12% 6.21% 7.23% 6.01% 5.60% 4.77%
Max Increase 6.11% 11.41% 14.86% 16.98% 13.74% 23.29% 15.76% 15.98% 10.82% 13.26% 13.04%
Avg Days To Max Increase 6 19 14 14 19 17 17 22 16 14 15
Avg Max Decline -0.73% -0.74% -0.78% -1.04% -1.18% -0.97% -1.03% -1.67% -1.47% -1.71% -0.64%
Max Decline -2.20% -2.72% -6.06% -3.61% -4.67% -2.50% -3.12% -6.10% -4.86% -6.34% -1.79%
Avg Days to Max Decline 7 11 9 7 5 7 10 11 7 6 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 8 26 32 32 35 35 36 36 36 36 36
Closed Lower 3 11 12 10 16 19 14 16 15 14 13
Penetrated Low 2 6 6 6 14 15 8 11 10 10 9
Scenario Percentage 67% 55% 50% 60% 88% 79% 57% 69% 67% 71% 69%
Avg Max Decline 1.28% 6.29% 5.60% 8.47% 5.67% 5.95% 7.54% 8.47% 6.44% 6.02% 10.13%
Max Decline 1.73% 14.00% 7.91% 16.56% 16.03% 12.14% 29.88% 15.13% 12.06% 22.58% 30.07%
Avg Days To Max Decline 17 21 16 22 17 16 17 18 15 15 18
Avg Max Increase -1.46% -0.75% -1.08% -0.99% -0.67% -1.55% -1.22% -1.27% -1.84% -2.92% -1.71%
Max Increase -2.56% -1.99% -2.32% -4.37% -1.94% -8.09% -3.24% -4.09% -5.51% -8.36% -5.88%
Avg Days to Max Increase 18 7 6 7 4 9 10 5 9 14 8
2007 Contract Condition   Yes   Yes       Yes     Yes
Action   No   No       Yes     Not Yet
High 107.750 103.400 103.500 103.250 105.400 110.000 112.400 113.850 112.100 118.650 119.000
Low 102.500 95.950 100.200 96.050 99.300 104.700 108.400 108.750 105.650 111.350 113.900
Close/Last 102.700 100.550 102.250 99.400 105.000 109.400 112.250 111.300 111.850 118.050 117.525

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