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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 Dec 30, 2011
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   42 44 44 44 45 45 45 45 45 45 45
Closed Higher   29 32 32 25 23 27 20 23 28 20 26
Exceeded High   27 28 28 19 20 20 18 22 25 17 19
Scenario Percentage   93% 88% 88% 76% 87% 74% 90% 96% 89% 85% 73%
Avg Max Increase   3.60% 4.93% 4.39% 5.14% 5.29% 5.55% 5.88% 7.13% 4.90% 6.68% 4.28%
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 17 18 17 15 16 14 15 13 16
Avg Max Decline   -1.09% -0.54% -1.22% -1.25% -1.29% -1.23% -1.86% -1.70% -1.88% -1.50% -0.64%
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 8 8 7 8 10 7 6 10 4
2011 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes   Yes
Action   Yes Yes Yes Yes Yes     Yes Yes   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   42 44 44 44 45 45 45 45 45 45 45
Closed Lower   13 12 12 19 22 18 25 22 17 25 19
Penetrated Low   9 4 10 12 15 13 19 16 15 18 13
Scenario Percentage   69% 33% 83% 63% 68% 72% 76% 73% 88% 72% 68%
Avg Max Decline   4.12% 7.33% 6.16% 6.57% 6.26% 6.53% 5.17% 5.97% 5.19% 6.96% 3.77%
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   16 16 21 18 16 17 20 19 15 11 12
Avg Max Increase   -0.73% -1.62% -1.68% -0.47% -1.20% -1.18% -1.75% -2.33% -2.24% -1.69% -0.92%
Max Increase   -3.67% -2.70% -3.63% -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 9 8 9 13 11 5 2
2011 Contract Condition             Yes Yes     Yes  
Action             Yes Yes     No  
High 105.800 108.900 112.250 118.100 121.500 125.475 126.375 121.025 119.800 121.800 121.075 122.500
Low 100.275 104.000 106.800 110.150 116.300 115.100 119.225 109.525 108.100 114.200 113.450 113.500
Close/Last 104.725 108.825 112.000 117.525 119.950 125.400 120.725 111.075 117.200 117.325 114.025 122.150

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