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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Live Cattle(CME) as of Jan 01, 2008
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
Tested Years 38 41 41 42 43 43 43 43 43 43 43
Closed Higher 26 28 29 22 21 25 19 19 26 21 25
Exceeded High 24 24 25 17 18 18 17 19 24 17 18
Scenario Percentage 92% 86% 86% 77% 86% 72% 89% 100% 92% 81% 72%
Avg Max Increase 3.45% 4.98% 4.29% 5.18% 5.68% 5.84% 5.72% 7.43% 4.85% 6.81% 4.48%
Max Increase 9.11% 14.10% 14.44% 14.08% 20.35% 13.11% 21.44% 27.14% 13.64% 25.05% 18.26%
Avg Days To Max Increase 19 17 16 18 18 13 15 14 15 13 17
Avg Max Decline -1.05% -0.49% -1.21% -0.88% -1.37% -1.21% -1.80% -1.78% -1.85% -1.49% -0.67%
Max Decline -3.69% -1.68% -4.11% -2.74% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline 11 9 6 5 6 7 10 8 5 9 4
2007 Contract Condition Yes Yes Yes Yes Yes Yes     Yes   Yes
Action Yes Yes Yes Yes No 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 38 41 41 42 43 43 43 43 43 43 43
Closed Lower 12 13 12 20 21 18 24 24 17 22 18
Penetrated Low 8 4 9 13 16 13 18 17 14 16 16
Scenario Percentage 67% 31% 75% 65% 76% 72% 75% 71% 82% 73% 89%
Avg Max Decline 3.72% 7.33% 6.54% 6.83% 6.25% 6.05% 5.38% 5.88% 5.00% 6.43% 8.65%
Max Decline 12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 13.56% 23.20% 25.03%
Avg Days To Max Decline 17 16 21 18 16 19 22 19 15 11 16
Avg Max Increase -1.01% -1.62% -1.47% -0.51% -1.19% -1.28% -1.76% -2.25% -2.21% -1.63% -2.26%
Max Increase -3.67% -2.70% -3.39% -1.96% -3.76% -2.33% -5.22% -6.56% -6.02% -4.87% -6.42%
Avg Days to Max Increase 6 13 6 7 8 8 9 12 11 5 6
2007 Contract Condition             Yes Yes   Yes  
Action             Yes No   Yes  
High 89.700 91.050 91.275 96.400 99.450 98.400 97.225 95.550 100.000 100.225 99.000
Low 86.500 88.750 89.150 90.675 94.525 94.025 94.300 92.000 94.100 93.600 94.375
Close/Last 89.000 90.325 90.975 95.925 96.350 96.375 95.225 94.725 99.950 96.900 96.950

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