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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Live Cattle(CME) as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 23 23 27 28 17 27 24 27 27 28
Exceeded High   17 18 19 25 20 15 25 14 24 25 21
Scenario Percentage   89% 78% 83% 93% 71% 88% 93% 58% 89% 93% 75%
Avg Max Increase   4.91% 5.07% 5.34% 6.13% 4.06% 4.73% 4.53% 5.18% 5.88% 7.71% 4.65%
Max Increase   20.95% 13.59% 24.14% 28.67% 14.74% 14.40% 14.77% 9.77% 14.42% 23.28% 8.94%
Avg Days To Max Increase   15 17 21 19 18 16 21 18 18 16 16
Avg Max Decline   -0.80% -0.96% -1.37% -1.26% -2.07% -1.31% -1.84% -1.35% -1.80% -1.41% -0.77%
Max Decline   -2.14% -3.30% -4.69% -5.28% -8.02% -3.25% -8.32% -3.73% -7.80% -3.89% -4.16%
Avg Days to Max Decline   6 10 12 8 13 9 13 9 7 12 3
2012 Contract Condition   Yes     Yes Yes   Yes   Yes   Yes
Action   Yes     Yes No   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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   19 21 22 18 17 28 18 20 17 18 17
Penetrated Low   13 14 13 15 14 19 15 12 12 9 10
Scenario Percentage   68% 67% 59% 83% 82% 68% 83% 60% 71% 50% 59%
Avg Max Decline   4.34% 4.31% 5.63% 4.37% 5.09% 5.80% 5.04% 4.87% 8.04% 10.48% 3.45%
Max Decline   8.00% 7.25% 13.25% 11.40% 13.21% 19.34% 16.80% 14.48% 16.95% 16.13% 5.22%
Avg Days To Max Decline   16 19 20 20 14 15 18 11 14 17 14
Avg Max Increase   -0.69% -1.02% -1.40% -1.60% -1.28% -1.37% -2.11% -1.53% -1.19% -1.12% -1.26%
Max Increase   -1.90% -2.37% -4.08% -4.18% -3.98% -3.44% -7.75% -4.22% -4.48% -3.54% -4.21%
Avg Days to Max Increase   7 7 8 11 4 9 9 8 5 6 5
2012 Contract Condition     Yes Yes     Yes   Yes   Yes  
Action     Yes No     Yes   Yes   Not Yet  
High 120.800 124.825 125.800 123.450 124.000 127.000 125.300 124.325 126.600 126.500 124.680 126.380
Low 116.475 114.900 121.025 114.325 114.400 120.350 118.700 118.475 120.975 120.175 116.850 119.750
Close/Last 119.750 124.800 123.200 116.750 121.175 122.875 119.875 124.150 121.375 123.600 121.450 124.850

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