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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, 2010
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 17 29 35 36 37 38 38 38 38 38 38
Closed Higher 10 20 19 15 23 23 22 24 21 21 15
Exceeded High 10 16 12 14 17 19 21 21 19 17 5
Scenario Percentage 100% 80% 63% 93% 74% 83% 95% 88% 90% 81% 33%
Avg Max Increase 5.47% 3.81% 5.89% 5.87% 6.15% 6.31% 6.89% 4.97% 5.17% 3.95% 1.88%
Max Increase 14.30% 16.22% 13.46% 23.93% 16.07% 18.16% 33.08% 12.84% 16.13% 10.84% 4.36%
Avg Days To Max Increase 13 14 19 16 20 20 17 14 10 11 10
Avg Max Decline -0.09% -0.86% -1.20% -0.84% -1.24% -1.70% -1.32% -1.54% -1.27% -1.43% -0.91%
Max Decline -0.59% -3.23% -5.05% -1.95% -4.15% -6.17% -3.99% -5.19% -7.19% -8.14% -1.65%
Avg Days to Max Decline 5 6 8 7 12 10 9 6 6 5 3
2009 Contract Condition Yes   Yes   Yes Yes   Yes      
Action Yes   Yes   Yes Yes   No      
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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 17 29 35 36 37 38 38 38 38 38 38
Closed Lower 7 9 16 20 13 15 16 14 17 17 21
Penetrated Low 4 6 12 14 7 12 11 11 12 14 13
Scenario Percentage 57% 67% 75% 70% 54% 80% 69% 79% 71% 82% 62%
Avg Max Decline 3.27% 5.34% 7.07% 5.48% 3.91% 6.47% 5.93% 7.27% 6.97% 4.94% 9.51%
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 8 18 16 18 16 17 15 12 13 13 12
Avg Max Increase -0.84% -1.50% -0.66% -1.30% -0.67% -1.07% -1.82% -2.20% -1.08% -1.66% -0.85%
Max Increase -1.10% -5.12% -1.94% -6.67% -1.69% -4.01% -4.87% -8.96% -3.73% -7.18% -4.05%
Avg Days to Max Increase 7 4 5 9 4 4 10 9 4 7 3
2009 Contract Condition   Yes   Yes     Yes   Yes Yes Yes
Action   Yes   No     No   Yes Yes Not Yet
High 98.200 101.700 100.600 100.400 103.225 103.900 102.625 104.850 102.800 101.300 96.975
Low 89.150 95.200 94.800 96.250 97.400 98.425 96.050 101.300 97.750 95.050 92.250
Close/Last 98.000 95.700 98.700 97.925 99.925 102.150 101.750 102.650 98.025 96.625 94.800

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