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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 Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   18 30 36 37 38 39 39 39 39 39 39
Closed Higher   11 21 20 16 24 23 23 25 22 21 15
Exceeded High   11 17 13 15 17 19 22 22 19 17 5
Scenario Percentage   100% 81% 65% 94% 71% 83% 96% 88% 86% 81% 33%
Avg Max Increase   5.54% 4.17% 6.36% 5.74% 6.15% 6.31% 6.79% 4.87% 5.17% 3.81% 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   14 15 20 16 20 20 17 14 10 11 10
Avg Max Decline   -0.07% -0.83% -1.09% -0.79% -1.24% -1.70% -1.30% -1.59% -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 7 6 12 10 10 6 6 5 3
2010 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes    
Action   Yes Yes Yes Yes No   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   18 30 36 37 38 39 39 39 39 39 39
Closed Lower   7 9 16 20 13 16 16 14 17 18 22
Penetrated Low   4 6 12 14 7 12 11 11 12 15 11
Scenario Percentage   57% 67% 75% 70% 54% 75% 69% 79% 71% 83% 50%
Avg Max Decline   3.27% 5.34% 7.07% 5.48% 3.91% 6.47% 5.93% 7.27% 6.97% 4.96% 3.42%
Max Decline   5.69% 16.98% 22.26% 11.39% 8.27% 12.57% 12.22% 25.87% 16.68% 12.76% 7.00%
Avg Days To Max Decline   8 18 16 18 16 17 15 12 13 13 9
Avg Max Increase   -0.84% -1.50% -0.66% -1.30% -0.67% -1.07% -1.82% -2.20% -1.08% -1.60% -0.57%
Max Increase   -1.10% -5.12% -1.94% -6.67% -1.69% -4.01% -4.87% -8.96% -3.73% -7.18% -1.23%
Avg Days to Max Increase   7 4 5 9 4 4 10 9 4 7 2
2010 Contract Condition             Yes       Yes Yes
Action             No       Yes Not Yet
High 97.800 98.600 102.100 104.800 112.225 116.500 116.500 113.500 115.500 117.950 116.400 112.875
Low 97.750 97.500 98.700 101.600 104.200 111.900 106.850 107.200 111.800 111.675 108.250 106.125
Close/Last 97.800 98.600 102.100 104.000 112.100 114.650 107.850 112.675 114.725 115.700 112.025 110.325

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