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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 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   19 31 37 38 39 40 40 40 40 40 40
Closed Higher   12 22 21 17 24 23 24 26 22 22 15
Exceeded High   12 18 14 16 17 19 23 22 19 18 5
Scenario Percentage   100% 82% 67% 94% 71% 83% 96% 85% 86% 82% 33%
Avg Max Increase   5.69% 4.41% 6.40% 5.41% 6.15% 6.31% 6.71% 4.87% 5.17% 3.55% 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   15 16 19 15 20 20 16 14 10 11 10
Avg Max Decline   -0.12% -0.87% -1.18% -0.78% -1.24% -1.70% -1.22% -1.59% -1.27% -1.46% -0.91%
Max Decline   -0.63% -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 6 12 10 10 6 6 5 3
2011 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes  
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   19 31 37 38 39 40 40 40 40 40 40
Closed Lower   7 9 16 20 14 17 16 14 18 18 23
Penetrated Low   4 6 12 14 8 12 11 11 12 15 12
Scenario Percentage   57% 67% 75% 70% 57% 71% 69% 79% 67% 83% 52%
Avg Max Decline   3.27% 5.34% 7.07% 5.48% 4.68% 6.47% 5.93% 7.27% 6.97% 4.96% 3.17%
Max Decline   5.69% 16.98% 22.26% 11.39% 10.11% 12.57% 12.22% 25.87% 16.68% 12.76% 7.00%
Avg Days To Max Decline   8 18 16 18 17 17 15 12 13 13 9
Avg Max Increase   -0.84% -1.50% -0.66% -1.30% -0.61% -1.07% -1.82% -2.20% -1.08% -1.60% -0.69%
Max Increase   -1.10% -5.12% -1.94% -6.67% -1.69% -4.01% -4.87% -8.96% -3.73% -7.18% -2.00%
Avg Days to Max Increase   7 4 5 9 3 4 10 9 4 7 2
2011 Contract Condition           Yes Yes     Yes   Yes
Action           Yes No     No   Yes
High 119.000 124.025 129.400 133.000 140.400 141.075 137.500 140.050 145.975 142.000 144.425 145.275
Low 116.400 118.975 123.225 127.400 128.975 133.900 123.350 125.300 136.550 132.000 132.850 139.750
Close/Last 119.000 124.000 129.400 132.000 140.375 137.225 127.850 139.075 140.300 133.950 142.925 140.050

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