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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, 2013
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 33 26 23 26 20 24 28 20 26
Exceeded High   27 28 29 20 20 19 17 23 25 17 19
Scenario Percentage   93% 88% 88% 77% 87% 73% 85% 96% 89% 85% 73%
Avg Max Increase   3.60% 5.00% 4.30% 4.96% 5.29% 5.57% 6.20% 6.92% 4.90% 6.76% 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   20 18 16 18 17 15 16 14 15 14 16
Avg Max Decline   -1.21% -0.55% -1.20% -1.15% -1.29% -1.26% -1.90% -1.79% -1.88% -1.52% -0.64%
Max Decline   -3.97% -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 9 11 8 6 10 4
2012 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes  
Action   Yes Yes Yes Yes     No 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 11 18 22 19 25 21 16 25 19
Penetrated Low   9 4 9 12 16 13 19 15 14 18 12
Scenario Percentage   69% 33% 82% 67% 73% 68% 76% 71% 88% 72% 63%
Avg Max Decline   4.12% 7.33% 6.36% 6.57% 6.18% 6.53% 5.17% 6.21% 5.39% 6.96% 3.79%
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 17 17 20 19 15 11 11
Avg Max Increase   -0.73% -1.62% -1.74% -0.47% -1.18% -1.18% -1.75% -2.42% -2.25% -1.69% -0.99%
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 7 7 9 8 9 13 9 5 2
2012 Contract Condition           Yes Yes         Yes
Action           Yes No         Not Yet
High 128.775 129.800 129.200 132.400 134.280 135.000 126.780 127.050 125.800 126.480 127.230 128.780
Low 123.450 125.800 123.085 128.300 131.500 125.380 119.500 120.730 119.650 119.600 123.350 121.530
Close/Last 126.950 128.175 128.400 132.385 134.050 125.600 121.150 123.700 124.400 124.400 126.030 122.085

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