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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 May 31, 2010
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 Aug
Tested Years   10 28 34 34 37 37 38 38 38 38 38
Closed Higher   5 15 20 23 21 16 24 22 22 24 22
Exceeded High   4 13 20 20 14 14 18 18 20 20 12
Scenario Percentage   80% 87% 100% 87% 67% 88% 75% 82% 91% 83% 55%
Avg Max Increase   3.83% 4.83% 4.84% 4.53% 6.12% 6.12% 6.08% 7.01% 5.86% 5.45% 4.80%
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 18 22 16 13 16
Avg Max Decline   -0.73% -0.74% -0.69% -1.02% -1.35% -0.97% -1.09% -1.94% -1.44% -1.63% -0.64%
Max Decline   -2.20% -2.72% -6.06% -3.61% -4.67% -2.50% -3.12% -6.69% -4.86% -6.34% -1.79%
Avg Days to Max Decline   7 11 8 7 5 7 9 10 7 5 2
2010 Contract Condition       Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   10 28 34 34 37 37 38 38 38 38 38
Closed Lower   5 13 13 11 16 21 14 16 16 14 15
Penetrated Low   4 8 7 7 14 15 8 11 10 10 9
Scenario Percentage   80% 62% 54% 64% 88% 71% 57% 69% 63% 71% 60%
Avg Max Decline   4.56% 6.09% 5.18% 7.51% 5.67% 5.95% 7.54% 8.47% 6.44% 6.02% 3.14%
Max Decline   11.88% 14.00% 7.91% 16.56% 16.03% 12.14% 29.88% 15.13% 12.06% 22.58% 7.23%
Avg Days To Max Decline   16 19 16 22 17 16 17 18 15 15 10
Avg Max Increase   -1.21% -0.55% -1.02% -1.60% -0.67% -1.55% -1.22% -1.27% -1.84% -2.92% -1.26%
Max Increase   -2.56% -1.99% -2.32% -5.25% -1.94% -8.09% -3.24% -4.09% -5.51% -8.36% -5.88%
Avg Days to Max Increase   13 7 6 7 4 9 10 5 9 14 3
2010 Contract Condition   Yes Yes           Yes      
Action   Yes Yes           Not Yet      
High 101.600 100.000 99.450 98.900 102.750 105.750 113.900 117.500 117.075 109.000    
Low 100.000 98.900 97.800 97.200 99.000 101.150 104.750 113.150 107.250 107.775    
Close/Last 100.000 98.900 98.000 98.900 102.750 104.775 113.850 115.900 108.500 108.900    

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