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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Live 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   41 43 44 44 44 44 44 44 44 44 44
Closed Higher   21 25 27 18 22 25 28 28 30 28 27
Exceeded High   17 23 20 15 21 17 25 27 24 23 21
Scenario Percentage   81% 92% 74% 83% 95% 68% 89% 96% 80% 82% 78%
Avg Max Increase   5.03% 5.63% 3.71% 3.70% 3.71% 4.52% 5.88% 6.12% 8.26% 7.53% 5.01%
Max Increase   22.82% 28.72% 11.79% 10.35% 8.50% 9.13% 15.90% 15.44% 23.63% 23.61% 17.27%
Avg Days To Max Increase   19 20 14 16 22 19 16 20 18 13 13
Avg Max Decline   -1.09% -0.88% -1.52% -1.46% -1.96% -1.25% -1.80% -1.32% -1.56% -1.26% -0.93%
Max Decline   -3.66% -3.41% -7.69% -3.52% -8.67% -3.62% -6.20% -3.48% -4.87% -4.16% -2.90%
Avg Days to Max Decline   9 8 8 16 14 10 9 12 8 7 2
2011 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes   Yes
Action     Yes Yes Yes Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   41 43 44 44 44 44 44 44 44 44 44
Closed Lower   20 18 17 26 21 19 15 15 14 16 17
Penetrated Low   12 13 14 19 17 11 11 8 11 10 12
Scenario Percentage   60% 72% 82% 73% 81% 58% 73% 53% 79% 63% 71%
Avg Max Decline   5.45% 4.56% 4.63% 5.45% 4.86% 4.48% 6.13% 8.44% 6.49% 8.10% 4.97%
Max Decline   12.45% 12.27% 12.81% 17.84% 15.87% 13.03% 15.83% 14.02% 13.57% 16.04% 11.54%
Avg Days To Max Decline   19 20 12 13 18 14 10 21 17 11 12
Avg Max Increase   -1.23% -1.13% -1.29% -0.89% -1.45% -1.52% -1.01% -1.91% -2.50% -1.47% -1.23%
Max Increase   -4.45% -3.64% -4.22% -4.40% -7.26% -3.38% -4.52% -4.32% -5.34% -4.89% -3.09%
Avg Days to Max Increase   8 9 4 6 9 9 3 13 8 8 2
2011 Contract Condition   Yes                 Yes  
Action   No                 Yes  
High 99.050 99.700 96.800 99.525 103.000 104.500 107.050 109.600 112.650 116.600 115.850 121.700
Low 96.800 93.675 93.800 95.975 98.850 101.250 100.475 104.125 107.025 109.875 110.600 110.500
Close/Last 98.200 95.000 96.750 99.400 102.100 102.875 104.775 109.375 112.200 114.050 112.900 121.550

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