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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, 2010
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 40 43 43 44 45 45 45 45 45 45 45
Closed Higher 27 30 30 24 21 27 21 21 27 21 25
Exceeded High 25 26 26 18 18 20 19 20 24 17 18
Scenario Percentage 93% 87% 87% 75% 86% 74% 90% 95% 89% 81% 72%
Avg Max Increase 3.47% 4.89% 4.25% 4.96% 5.68% 5.92% 5.63% 7.17% 4.85% 6.81% 4.46%
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 16
Avg Max Decline -1.01% -0.49% -1.20% -1.14% -1.37% -1.20% -1.85% -1.81% -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 8 10 8 5 9 4
2009 Contract Condition   Yes   Yes   Yes Yes Yes Yes    
Action   Yes   No   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 40 43 43 44 45 45 45 45 45 45 45
Closed Lower 13 13 13 20 23 18 24 24 18 24 20
Penetrated Low 9 4 10 13 16 13 18 17 15 18 18
Scenario Percentage 69% 31% 77% 65% 70% 72% 75% 71% 83% 75% 90%
Avg Max Decline 4.12% 7.33% 6.16% 6.83% 6.25% 6.05% 5.38% 5.88% 5.19% 6.96% 8.66%
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 16 16 21 18 16 19 22 19 15 11 15
Avg Max Increase -0.73% -1.62% -1.68% -0.51% -1.19% -1.28% -1.76% -2.25% -2.24% -1.69% -2.06%
Max Increase -3.67% -2.70% -3.63% -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 5
2009 Contract Condition Yes   Yes   Yes         Yes Yes
Action Yes   Yes   No         Yes Yes
High 94.650 89.650 92.700 90.000 88.550 89.725 89.675 90.500 92.150 91.150 87.925
Low 84.800 81.250 85.750 84.450 84.750 85.800 86.000 85.550 88.000 85.925 84.700
Close/Last 87.700 89.200 86.850 88.225 86.000 86.375 87.700 90.175 90.200 86.675 85.600

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