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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Feeder Cattle(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   9 29 33 34 34 36 36 37 37 37 37
Closed Higher   6 11 20 20 24 20 17 23 21 21 24
Exceeded High   5 6 18 19 20 13 14 19 17 19 20
Scenario Percentage   83% 55% 90% 95% 83% 65% 82% 83% 81% 90% 83%
Avg Max Increase   4.67% 3.81% 4.33% 5.29% 4.58% 6.87% 6.93% 6.03% 7.22% 6.48% 4.12%
Max Increase   7.56% 6.02% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 12.05% 13.56%
Avg Days To Max Increase   22 13 20 16 15 18 19 19 19 15 15
Avg Max Decline   -1.32% -1.21% -1.07% -0.88% -1.28% -1.41% -1.31% -1.36% -1.51% -1.37% -0.98%
Max Decline   -2.86% -3.21% -4.34% -5.57% -4.41% -5.00% -2.71% -3.56% -4.14% -4.71% -2.83%
Avg Days to Max Decline   17 7 9 11 8 6 14 10 9 6 3
2008 Contract Condition   Yes       Yes Yes   Yes Yes   Yes
Action   No       Yes No   Yes No   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   9 29 33 34 34 36 36 37 37 37 37
Closed Lower   2 18 13 14 10 16 19 14 16 16 13
Penetrated Low   2 11 7 8 7 13 16 8 9 10 9
Scenario Percentage   100% 61% 54% 57% 70% 81% 84% 57% 56% 63% 69%
Avg Max Decline   4.30% 5.20% 7.10% 5.08% 7.76% 6.17% 6.14% 7.53% 9.89% 5.65% 2.11%
Max Decline   6.29% 15.87% 15.49% 8.18% 16.93% 18.30% 12.76% 29.63% 15.85% 10.89% 5.65%
Avg Days To Max Decline   22 17 21 14 19 18 16 18 19 14 6
Avg Max Increase   -1.68% -0.63% -0.48% -1.04% -0.98% -0.67% -1.58% -1.76% -1.35% -2.32% -0.83%
Max Increase   -1.81% -2.35% -1.05% -2.29% -4.22% -2.00% -7.40% -4.29% -3.03% -6.78% -2.98%
Avg Days to Max Increase   16 8 6 6 6 5 9 10 11 7 3
2008 Contract Condition     Yes Yes Yes     Yes     Yes  
Action     Yes Yes Yes     Yes     Not Yet  
High 113.600 114.900 114.700 113.500 112.250 112.400 114.200 113.500 111.150 116.500 115.750 115.000
Low 113.600 112.800 112.500 111.450 109.000 106.900 110.600 103.675 103.100 107.100 107.850 109.200
Close/Last 113.600 113.950 113.000 111.925 110.975 112.275 113.025 105.750 108.525 116.025 111.875 113.800

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