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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, 2010
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 35 44 45 45 45 45 45 45 45 45 45
Closed Higher 23 23 22 24 23 22 25 21 25 24 26
Exceeded High 19 17 19 20 19 20 19 18 22 18 18
Scenario Percentage 83% 74% 86% 83% 83% 91% 76% 86% 88% 75% 69%
Avg Max Increase 3.53% 4.01% 4.79% 5.32% 5.12% 6.76% 4.59% 5.74% 5.40% 6.09% 3.32%
Max Increase 12.47% 13.33% 21.08% 13.31% 23.89% 27.74% 10.78% 17.67% 16.89% 10.63% 8.00%
Avg Days To Max Increase 15 18 15 16 18 19 17 18 20 15 14
Avg Max Decline -1.29% -1.08% -0.93% -1.16% -1.69% -1.35% -1.92% -1.57% -1.50% -0.96% -1.02%
Max Decline -3.93% -4.07% -5.65% -7.18% -4.12% -6.93% -9.56% -7.78% -5.36% -2.91% -6.01%
Avg Days to Max Decline 7 10 5 8 11 6 7 9 9 5 3
2009 Contract Condition   Yes   Yes Yes            
Action   No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 35 44 45 45 45 45 45 45 45 45 45
Closed Lower 11 21 23 21 21 23 20 24 20 21 19
Penetrated Low 8 10 14 15 13 18 15 16 18 16 15
Scenario Percentage 73% 48% 61% 71% 62% 78% 75% 67% 90% 76% 79%
Avg Max Decline 5.91% 6.77% 6.54% 5.14% 6.17% 5.22% 5.38% 7.17% 5.73% 6.63% 9.56%
Max Decline 11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 17.43% 15.03% 24.65%
Avg Days To Max Decline 23 20 16 18 20 18 17 12 14 10 18
Avg Max Increase -1.31% -0.61% -0.80% -1.11% -1.74% -2.08% -1.51% -1.13% -1.91% -1.53% -3.18%
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 8 12 6 5 9 8 10
2009 Contract Condition Yes   Yes     Yes Yes Yes Yes Yes Yes
Action Yes   No     Yes Yes Yes Yes Yes Yes
High 93.800 92.000 90.650 91.225 91.500 90.500 90.750 90.075 87.650 87.925 86.800
Low 88.450 86.200 87.300 87.950 88.250 87.150 87.675 86.400 84.025 83.400 82.650
Close/Last 89.300 89.925 88.225 88.725 90.025 89.750 89.225 86.825 86.125 85.675 83.200

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