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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 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Higher   21 26 28 18 23 25 29 28 31 28 27
Exceeded High   17 24 20 15 22 17 25 27 25 23 21
Scenario Percentage   81% 92% 71% 83% 96% 68% 86% 96% 81% 82% 78%
Avg Max Increase   5.03% 5.59% 3.71% 3.70% 3.66% 4.52% 5.88% 6.12% 8.02% 7.58% 5.06%
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 21 19 16 20 19 13 13
Avg Max Decline   -1.09% -0.87% -1.52% -1.46% -1.94% -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
2012 Contract Condition     Yes Yes   Yes   Yes   Yes Yes  
Action     Yes No   Yes   No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   42 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 18 17 27 21 20 15 16 14 17 18
Penetrated Low   12 13 14 20 17 12 11 8 11 11 13
Scenario Percentage   57% 72% 82% 74% 81% 60% 73% 50% 79% 65% 72%
Avg Max Decline   5.45% 4.56% 4.63% 5.25% 4.86% 4.41% 6.13% 8.44% 6.49% 8.17% 4.82%
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 13 10 21 17 12 13
Avg Max Increase   -1.23% -1.13% -1.29% -0.98% -1.45% -1.67% -1.01% -1.91% -2.50% -1.55% -1.24%
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 7 4
2012 Contract Condition   Yes     Yes   Yes   Yes     Yes
Action   No     Yes   Yes   No     Yes
High 126.650 123.800 125.650 128.400 127.775 127.550 129.700 129.750 127.900 129.680 131.500 131.250
Low 121.750 115.350 115.650 121.700 122.575 122.350 124.550 124.100 121.030 124.150 126.630 120.100
Close/Last 123.600 118.050 122.575 125.200 124.125 126.575 125.550 126.700 125.450 128.575 129.750 120.450

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