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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Feeder 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 9 31 34 37 38 38 38 38 38 38 38
Closed Higher 3 19 23 22 16 24 24 21 24 22 19
Exceeded High 3 19 20 14 14 18 19 20 20 20 13
Scenario Percentage 100% 100% 87% 64% 88% 75% 79% 95% 83% 91% 68%
Avg Max Increase 6.93% 5.04% 4.23% 6.04% 5.81% 6.04% 6.71% 7.28% 4.80% 5.16% 2.99%
Max Increase 10.29% 14.38% 15.47% 13.16% 24.60% 17.00% 17.69% 33.68% 13.80% 17.30% 10.87%
Avg Days To Max Increase 21 14 14 20 17 21 22 16 14 12 12
Avg Max Decline -0.56% -0.65% -0.98% -1.26% -1.17% -1.20% -1.90% -1.46% -1.76% -1.39% -0.68%
Max Decline -1.01% -5.45% -3.21% -5.02% -2.84% -3.10% -7.28% -4.59% -6.61% -7.38% -2.04%
Avg Days to Max Decline 9 7 7 7 7 10 11 8 6 3 3
2009 Contract Condition   Yes   Yes   Yes Yes   Yes    
Action   Yes   Yes   Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years 9 31 34 37 38 38 38 38 38 38 38
Closed Lower 6 12 11 15 22 14 14 16 14 16 18
Penetrated Low 3 6 7 12 16 8 12 11 11 12 12
Scenario Percentage 50% 50% 64% 80% 73% 57% 86% 69% 79% 75% 67%
Avg Max Decline 6.75% 5.41% 7.71% 5.78% 6.99% 7.61% 6.63% 6.32% 6.97% 6.28% 9.17%
Max Decline 9.34% 8.12% 16.84% 14.96% 30.86% 31.86% 13.63% 12.55% 24.37% 16.33% 48.40%
Avg Days To Max Decline 16 21 23 18 18 10 16 15 13 11 15
Avg Max Increase 0.05% -1.11% -1.57% -0.66% -1.69% -0.82% -1.21% -1.88% -3.00% -1.16% -1.33%
Max Increase -0.68% -2.26% -5.30% -1.74% -6.89% -2.02% -4.47% -4.73% -7.79% -4.23% -4.09%
Avg Days to Max Increase 4 7 8 4 10 5 5 10 9 3 4
2009 Contract Condition Yes   Yes   Yes     Yes   Yes Yes
Action Yes   Yes   No     No   Yes Yes
High 102.000 97.800 101.450 101.250 100.400 103.100 103.425 102.650 104.850 102.950 100.400
Low 91.800 88.500 94.750 94.600 96.300 97.400 98.225 95.825 101.000 97.100 95.050
Close/Last 95.400 97.700 96.150 99.000 97.875 99.800 101.800 101.550 102.525 97.425 96.500

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