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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   37 44 45 45 45 45 45 45 45 45 45
Closed Higher   24 23 23 24 21 24 25 20 26 23 27
Exceeded High   20 18 20 19 17 22 19 18 23 17 18
Scenario Percentage   83% 78% 87% 79% 81% 92% 76% 90% 88% 74% 67%
Avg Max Increase   3.67% 4.19% 4.19% 5.18% 5.56% 6.75% 4.69% 5.83% 5.26% 6.05% 3.25%
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   16 18 15 17 19 18 17 18 19 15 14
Avg Max Decline   -1.36% -1.23% -0.95% -1.24% -1.59% -1.28% -1.89% -1.64% -1.61% -1.01% -1.11%
Max Decline   -3.93% -4.31% -5.65% -7.18% -3.67% -6.93% -9.56% -7.78% -5.36% -2.91% -6.01%
Avg Days to Max Decline   9 10 6 9 12 5 7 9 10 5 4
2011 Contract Condition   Yes Yes Yes     Yes     Yes   Yes
Action   Yes Yes Yes     Yes     Yes   Not Yet
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   37 44 45 45 45 45 45 45 45 45 45
Closed Lower   11 21 22 21 23 21 20 25 19 22 18
Penetrated Low   8 10 13 15 15 17 16 17 18 16 12
Scenario Percentage   73% 48% 59% 71% 65% 81% 80% 68% 95% 73% 67%
Avg Max Decline   5.91% 6.77% 6.67% 5.49% 5.63% 5.27% 5.28% 6.78% 5.32% 6.45% 4.65%
Max Decline   11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 17.43% 15.03% 8.88%
Avg Days To Max Decline   23 20 15 17 18 18 16 12 14 11 13
Avg Max Increase   -1.31% -0.61% -0.78% -1.01% -1.61% -2.14% -1.59% -1.10% -1.94% -1.88% -0.53%
Max Increase   -3.55% -1.39% -2.08% -3.46% -5.68% -5.92% -4.54% -3.45% -5.33% -7.24% -1.55%
Avg Days to Max Increase   6 10 7 9 7 13 7 5 9 8 3
2011 Contract Condition         Yes Yes   Yes Yes   Yes  
Action         Yes Yes   Yes Yes   Yes  
High 113.000 118.800 121.125 125.800 126.450 123.150 122.800 125.575 123.100 122.900 124.475 125.375
Low 107.600 111.250 116.675 115.025 120.925 112.950 112.175 117.950 115.625 115.300 118.150 117.600
Close/Last 113.000 118.275 120.200 125.725 122.900 115.175 120.000 119.825 115.900 122.650 118.600 121.600

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