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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 Apr 30, 2011
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   11 29 35 35 38 38 39 39 39 39 39
Closed Higher   5 15 21 24 22 17 25 22 23 25 22
Exceeded High   4 13 21 21 15 15 18 18 21 21 12
Scenario Percentage   80% 87% 100% 88% 68% 88% 72% 82% 91% 84% 55%
Avg Max Increase   3.83% 4.83% 4.94% 4.83% 6.52% 5.93% 6.08% 7.01% 5.75% 5.31% 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 17 14 16
Avg Max Decline   -0.73% -0.74% -0.65% -1.04% -1.26% -0.94% -1.09% -1.94% -1.46% -1.68% -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 8 6 2
2011 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 Aug
Tested Years   11 29 35 35 38 38 39 39 39 39 39
Closed Lower   6 14 13 11 16 21 14 17 16 14 16
Penetrated Low   5 9 7 7 14 15 8 11 10 10 10
Scenario Percentage   83% 64% 54% 64% 88% 71% 57% 65% 63% 71% 63%
Avg Max Decline   3.99% 5.50% 5.18% 7.51% 5.67% 5.95% 7.54% 8.47% 6.44% 6.02% 3.27%
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   13 17 16 22 17 16 17 18 15 15 12
Avg Max Increase   -1.08% -0.50% -1.02% -1.60% -0.67% -1.55% -1.22% -1.27% -1.84% -2.92% -1.21%
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   11 6 6 7 4 9 10 5 9 14 3
2011 Contract Condition               Yes Yes      
Action               Not Yet        
High 114.600 116.000 120.600 125.500 130.000 133.750 140.600 141.700 137.500      
Low 114.600 112.950 114.250 118.625 123.650 126.675 129.150 133.725 135.750      
Close/Last 114.600 115.100 120.600 125.500 129.800 132.350 140.425 136.925 136.200      

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