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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Live Cattle(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 32 41 42 42 42 42 42 42 42 42 42
Closed Higher 22 20 21 22 21 20 24 21 25 24 26
Exceeded High 18 15 19 18 18 19 18 18 22 18 18
Scenario Percentage 82% 75% 90% 82% 86% 95% 75% 86% 88% 75% 69%
Avg Max Increase 3.57% 4.31% 4.79% 5.15% 5.07% 6.84% 4.80% 5.74% 5.40% 6.02% 3.32%
Max Increase 12.47% 13.33% 21.08% 13.31% 23.89% 27.74% 10.78% 17.67% 16.89% 10.35% 8.00%
Avg Days To Max Increase 16 19 15 15 18 18 17 18 20 14 14
Avg Max Decline -1.30% -0.91% -0.93% -1.21% -1.72% -1.37% -1.78% -1.57% -1.50% -0.96% -1.02%
Max Decline -3.93% -3.57% -5.65% -7.18% -4.12% -6.93% -9.56% -7.78% -5.36% -2.91% -6.01%
Avg Days to Max Decline 7 9 5 9 12 6 7 9 9 5 3
2006 Contract Condition         Yes Yes   Yes      
Action         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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 32 41 42 42 42 42 42 42 42 42 42
Closed Lower 9 21 21 20 20 22 18 21 17 18 16
Penetrated Low 7 10 14 14 12 17 13 13 15 13 12
Scenario Percentage 78% 48% 67% 70% 60% 77% 72% 62% 88% 72% 75%
Avg Max Decline 6.26% 6.77% 6.54% 5.33% 6.52% 5.31% 5.08% 6.70% 5.04% 6.20% 10.29%
Max Decline 11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 10.41% 15.03% 24.65%
Avg Days To Max Decline 23 20 16 19 21 18 16 11 12 10 22
Avg Max Increase -1.07% -0.61% -0.80% -1.14% -1.87% -2.14% -1.57% -1.09% -2.11% -1.43% -3.71%
Max Increase -3.55% -1.39% -2.08% -3.46% -5.68% -5.92% -4.54% -3.45% -5.33% -7.24% -12.01%
Avg Days to Max Increase 6 10 7 9 9 12 7 5 10 7 12
2006 Contract Condition Yes Yes Yes Yes     Yes   Yes Yes Yes
Action Yes Yes Yes No     No   Yes Yes No
High 90.300 88.500 87.500 83.500 86.550 91.325 91.375 93.025 93.975 91.100 88.350
Low 87.800 86.525 82.300 80.425 80.900 84.200 86.300 87.850 88.550 86.650 84.425
Close/Last 88.150 87.150 82.300 81.925 86.000 89.900 88.975 92.750 89.850 87.825 85.700

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