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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 Dec 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   11 33 36 39 40 40 40 40 40 40 40
Closed Higher   4 21 25 24 18 25 24 23 26 23 20
Exceeded High   4 21 22 16 16 18 19 22 21 20 14
Scenario Percentage   100% 100% 88% 67% 89% 72% 79% 96% 81% 87% 70%
Avg Max Increase   7.30% 5.19% 4.69% 6.42% 5.34% 6.04% 6.71% 7.03% 4.70% 5.16% 2.86%
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   24 15 15 19 17 21 22 16 14 12 11
Avg Max Decline   -0.67% -0.65% -1.07% -1.23% -1.08% -1.20% -1.90% -1.39% -1.83% -1.39% -0.65%
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 6 10 11 9 6 3 3
2011 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes   Yes
Action   Yes Yes Yes Yes Yes     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   11 33 36 39 40 40 40 40 40 40 40
Closed Lower   7 12 11 15 22 15 16 16 14 17 19
Penetrated Low   4 6 7 12 16 9 12 11 11 12 12
Scenario Percentage   57% 50% 64% 80% 73% 60% 75% 69% 79% 71% 63%
Avg Max Decline   5.19% 5.41% 7.71% 5.78% 6.99% 7.92% 6.63% 6.32% 6.97% 6.28% 3.81%
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   15 21 23 18 18 12 16 15 13 11 11
Avg Max Increase   -0.07% -1.11% -1.57% -0.66% -1.69% -0.76% -1.21% -1.88% -3.00% -1.16% -1.05%
Max Increase   -0.68% -2.26% -5.30% -1.74% -6.89% -2.02% -4.47% -4.73% -7.79% -4.23% -4.09%
Avg Days to Max Increase   3 7 8 4 10 4 5 10 9 3 2
2011 Contract Condition             Yes Yes     Yes  
Action             Yes No     Not Yet  
High 115.350 119.700 125.400 129.750 133.400 140.375 141.300 137.625 140.000 145.925 141.550 142.025
Low 115.150 115.025 118.500 123.575 126.900 129.525 133.875 123.000 124.000 136.000 130.925 131.900
Close/Last 115.350 119.700 125.400 129.600 132.200 140.050 137.300 126.950 139.225 139.600 132.700 140.525

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