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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   39 42 42 43 44 44 44 44 44 44 44
Closed Higher   27 29 30 23 21 26 20 20 26 21 25
Exceeded High   25 25 26 18 18 19 18 19 24 17 18
Scenario Percentage   93% 86% 87% 78% 86% 73% 90% 95% 92% 81% 72%
Avg Max Increase   3.47% 4.93% 4.25% 4.96% 5.68% 5.99% 5.66% 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 19 18 14 15 14 15 13 17
Avg Max Decline   -1.01% -0.52% -1.20% -1.14% -1.37% -1.21% -1.82% -1.78% -1.85% -1.49% -0.67%
Max Decline   -3.69% -1.68% -4.11% -5.63% -5.37% -7.13% -4.03% -10.28% -8.40% -6.73% -3.21%
Avg Days to Max Decline   11 9 6 7 6 7 10 8 5 9 4
2008 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes      
Action   Yes Yes Yes Yes   Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   39 42 42 43 44 44 44 44 44 44 44
Closed Lower   12 13 12 20 22 18 24 24 18 23 19
Penetrated Low   8 4 9 13 16 13 18 17 15 17 12
Scenario Percentage   67% 31% 75% 65% 73% 72% 75% 71% 83% 74% 63%
Avg Max Decline   3.72% 7.33% 6.54% 6.83% 6.25% 6.05% 5.38% 5.88% 5.19% 7.02% 3.91%
Max Decline   12.82% 13.48% 12.91% 14.73% 25.65% 22.84% 14.26% 15.45% 13.56% 23.20% 12.03%
Avg Days To Max Decline   17 16 21 18 16 19 22 19 15 11 13
Avg Max Increase   -1.01% -1.62% -1.47% -0.51% -1.19% -1.28% -1.76% -2.25% -2.24% -1.71% -0.96%
Max Increase   -3.67% -2.70% -3.39% -1.96% -3.76% -2.33% -5.22% -6.56% -6.02% -4.87% -5.55%
Avg Days to Max Increase   6 13 6 7 8 8 9 12 11 5 3
2008 Contract Condition           Yes       Yes Yes Yes
Action           No       Yes Yes Yes
High 98.600 98.900 100.000 101.750 103.750 103.950 104.525 108.550 113.200 112.050 109.200 107.050
Low 97.000 97.100 97.700 98.725 100.150 97.550 98.700 103.000 105.900 103.775 103.525 97.950
Close/Last 97.775 97.825 99.975 100.875 103.500 99.050 104.300 108.150 111.000 106.300 104.050 98.900

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