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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, 2013
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   25 24 22 23 21 25 26 21 26 24 27
Exceeded High   21 19 19 18 18 23 20 19 23 18 19
Scenario Percentage   84% 79% 86% 78% 86% 92% 77% 90% 88% 75% 70%
Avg Max Increase   3.59% 4.04% 4.19% 5.27% 5.38% 6.53% 4.61% 5.63% 5.26% 5.88% 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   15 17 15 17 20 19 17 18 19 15 16
Avg Max Decline   -1.32% -1.14% -0.97% -1.29% -1.66% -1.35% -1.83% -1.57% -1.61% -1.02% -1.35%
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 9 7 9 13 6 7 9 10 6 5
2012 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 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   10 20 23 22 23 20 19 24 19 21 18
Penetrated Low   7 10 14 15 15 16 15 16 17 15 12
Scenario Percentage   70% 50% 61% 68% 65% 80% 79% 67% 89% 71% 67%
Avg Max Decline   6.10% 6.77% 6.48% 5.49% 5.63% 5.43% 5.29% 6.74% 5.31% 6.75% 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 16 17 18 18 15 11 14 11 13
Avg Max Increase   -1.33% -0.61% -0.82% -1.01% -1.61% -2.22% -1.62% -1.12% -2.04% -2.01% -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   7 10 8 9 7 14 6 5 9 8 3
2012 Contract Condition       Yes Yes         Yes    
Action       Yes No         No    
High 129.800 132.950 135.000 135.550 128.930 129.385 129.100 129.400 129.350 131.325 128.325 129.180
Low 123.900 129.000 132.250 126.800 122.000 123.650 122.930 123.585 126.630 123.950 124.335 124.550
Close/Last 129.500 132.930 134.950 127.100 124.050 126.500 127.400 127.480 128.650 124.700 125.930 126.730

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