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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Feeder Cattle(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 15 27 32 33 34 35 35 35 35 35 35
Closed Higher 9 19 16 14 20 21 21 21 21 21 15
Exceeded High 9 15 10 13 14 17 20 19 19 17 5
Scenario Percentage 100% 79% 62% 93% 70% 81% 95% 90% 90% 81% 33%
Avg Max Increase 5.66% 3.86% 6.04% 6.08% 6.59% 6.88% 6.91% 5.28% 5.17% 3.66% 1.57%
Max Increase 14.30% 16.22% 13.46% 23.93% 16.07% 18.16% 33.08% 12.84% 16.13% 10.84% 2.80%
Avg Days To Max Increase 14 15 18 16 19 20 16 15 10 11 10
Avg Max Decline -0.21% -0.91% -1.14% -0.84% -1.03% -1.18% -1.35% -1.55% -1.27% -1.43% -0.91%
Max Decline -0.59% -3.23% -5.05% -1.95% -2.81% -4.10% -3.99% -5.19% -7.19% -8.14% -1.65%
Avg Days to Max Decline 6 7 8 6 11 10 9 6 6 5 3
2006 Contract Condition           Yes Yes Yes Yes    
Action           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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 15 27 32 33 34 35 35 35 35 35 35
Closed Lower 6 8 16 18 13 14 14 14 14 14 18
Penetrated Low 3 5 12 14 7 11 10 11 9 11 12
Scenario Percentage 50% 62% 75% 78% 54% 79% 71% 79% 64% 79% 67%
Avg Max Decline 3.63% 6.22% 7.07% 5.48% 3.91% 6.72% 5.98% 7.27% 6.08% 4.27% 10.06%
Max Decline 5.69% 16.98% 22.26% 11.39% 8.27% 12.57% 12.22% 25.87% 16.68% 12.76% 44.65%
Avg Days To Max Decline 5 17 16 18 16 17 14 12 10 13 12
Avg Max Increase -0.75% -0.77% -0.66% -1.30% -0.67% -1.17% -1.67% -2.20% -0.76% -2.06% -0.85%
Max Increase -0.95% -3.69% -1.94% -6.67% -1.69% -4.01% -4.87% -8.96% -3.73% -7.18% -4.05%
Avg Days to Max Increase 6 3 5 9 4 4 8 9 4 9 3
2006 Contract Condition   Yes Yes Yes Yes         Yes Yes
Action   Yes Yes Yes No         Yes Yes
High 110.900 111.750 109.550 107.475 103.050 106.975 115.000 114.000 117.900 119.250 112.100
Low 109.500 109.100 106.150 102.700 99.400 100.500 105.500 109.500 111.800 110.650 102.200
Close/Last 110.800 109.900 106.700 102.750 100.950 106.900 111.500 113.700 116.325 110.850 103.975

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