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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Feeder Cattle(CME) as of Jan 01, 2009
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 Sep
Tested Years   8 30 33 36 37 37 37 37 37 37 37
Closed Higher   3 18 23 21 16 23 23 21 23 22 19
Exceeded High   3 18 20 13 14 17 18 20 20 20 13
Scenario Percentage   100% 100% 87% 62% 88% 74% 78% 95% 87% 91% 68%
Avg Max Increase   6.93% 5.10% 4.23% 6.18% 5.81% 6.18% 6.91% 7.28% 4.80% 5.16% 2.99%
Max Increase   10.29% 14.38% 15.47% 13.16% 24.60% 17.00% 17.69% 33.68% 13.80% 17.30% 10.87%
Avg Days To Max Increase   21 14 14 20 17 21 22 16 14 12 12
Avg Max Decline   -0.56% -0.76% -0.98% -1.15% -1.17% -1.18% -1.68% -1.46% -1.76% -1.39% -0.68%
Max Decline   -1.01% -5.45% -3.21% -5.02% -2.84% -3.10% -7.28% -4.59% -6.61% -7.38% -2.04%
Avg Days to Max Decline   9 7 7 7 7 11 11 8 6 3 3
2008 Contract Condition       Yes Yes   Yes Yes   Yes    
Action       Yes No   Yes No   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 Sep
Tested Years   8 30 33 36 37 37 37 37 37 37 37
Closed Lower   5 12 10 15 21 14 14 15 14 15 17
Penetrated Low   2 6 6 12 16 8 12 11 11 11 10
Scenario Percentage   40% 50% 60% 80% 76% 57% 86% 73% 79% 73% 59%
Avg Max Decline   6.51% 5.41% 8.73% 5.78% 6.99% 7.61% 6.63% 6.32% 6.97% 6.37% 3.69%
Max Decline   9.34% 8.12% 16.84% 14.96% 30.86% 31.86% 13.63% 12.55% 24.37% 16.33% 8.22%
Avg Days To Max Decline   22 21 23 18 18 10 16 15 13 11 12
Avg Max Increase   -0.34% -1.11% -0.95% -0.66% -1.69% -0.82% -1.21% -1.88% -3.00% -0.99% -1.18%
Max Increase   -0.68% -2.26% -4.16% -1.74% -6.89% -2.02% -4.47% -4.73% -7.79% -4.23% -4.09%
Avg Days to Max Increase   5 7 8 4 10 5 5 10 9 3 2
2008 Contract Condition   Yes Yes     Yes     Yes   Yes Yes
Action   Yes Yes     No     Yes   Yes Yes
High 113.200 112.600 111.500 111.400 113.750 113.400 113.100 117.900 117.350 117.300 118.800 112.100
Low 112.700 111.000 108.400 107.400 110.300 104.300 104.600 109.250 110.025 112.000 109.500 102.000
Close/Last 112.700 111.500 109.900 110.800 113.500 106.900 110.975 117.825 114.675 116.425 110.950 104.000

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