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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 43 44 44 44 44 45 45 45 45 45
Closed Higher   20 21 28 31 26 22 23 26 19 23 25
Exceeded High   18 17 27 30 21 19 20 20 16 21 20
Scenario Percentage   90% 81% 96% 97% 81% 86% 87% 77% 84% 91% 80%
Avg Max Increase   3.06% 3.76% 4.31% 4.53% 4.73% 5.82% 7.63% 6.32% 7.13% 7.06% 4.37%
Max Increase   6.97% 8.67% 19.17% 12.63% 16.50% 15.89% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase   19 16 18 15 17 18 20 14 20 14 15
Avg Max Decline   -1.70% -0.80% -1.34% -0.88% -1.21% -1.51% -1.23% -1.57% -2.22% -1.69% -1.00%
Max Decline   -6.31% -3.36% -4.06% -4.32% -3.95% -6.96% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline   10 7 8 8 8 6 5 8 14 10 3
2012 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes Yes  
Action   Yes Yes Yes Yes Yes No     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   42 43 44 44 44 44 45 45 45 45 45
Closed Lower   20 21 16 12 18 22 21 19 25 22 19
Penetrated Low   16 14 12 7 14 15 18 14 18 17 9
Scenario Percentage   80% 67% 75% 58% 78% 68% 86% 74% 72% 77% 47%
Avg Max Decline   4.32% 4.99% 5.24% 5.46% 5.43% 6.99% 6.23% 7.08% 6.31% 6.39% 3.31%
Max Decline   17.36% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 7.32%
Avg Days To Max Decline   14 13 16 19 20 20 18 17 18 12 10
Avg Max Increase   -0.75% -0.74% -0.95% -1.78% -1.54% -0.75% -1.48% -1.41% -1.42% -1.58% -1.11%
Max Increase   -2.35% -2.07% -3.29% -3.40% -3.97% -2.22% -5.21% -3.01% -3.58% -4.35% -7.13%
Avg Days to Max Increase   3 3 7 12 7 7 10 11 5 7 3
2012 Contract Condition               Yes Yes     Yes
Action               Yes No     Not Yet
High 123.600 125.600 126.775 127.550 126.900 129.575 130.680 130.450 120.700 122.430 121.230 120.500
Low 120.000 120.775 121.000 123.550 120.450 125.500 128.000 119.500 114.350 115.200 115.335 115.430
Close/Last 123.000 123.500 124.675 125.550 125.900 129.280 129.680 119.680 116.200 118.900 120.450 118.885

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