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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Live Cattle(CME) as of Apr 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   40 42 43 44 44 44 45 45 45 45 45
Closed Higher   18 19 27 31 25 22 23 26 20 21 25
Exceeded High   16 15 26 30 20 18 20 20 17 19 20
Scenario Percentage   89% 79% 96% 97% 80% 82% 87% 77% 85% 90% 80%
Avg Max Increase   2.80% 3.59% 4.12% 4.35% 4.70% 5.86% 7.89% 6.32% 6.74% 7.35% 4.25%
Max Increase   5.28% 8.67% 19.17% 12.63% 16.50% 15.89% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase   18 15 17 15 16 19 21 14 19 14 15
Avg Max Decline   -1.66% -0.81% -1.19% -0.81% -1.16% -1.35% -1.23% -1.57% -2.15% -1.57% -1.00%
Max Decline   -6.31% -3.36% -3.71% -4.32% -3.95% -6.96% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline   11 8 8 8 6 6 7 8 13 9 3
2011 Contract Condition   Yes Yes Yes Yes Yes Yes Yes        
Action   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   40 42 43 44 44 44 45 45 45 45 45
Closed Lower   20 22 16 12 19 22 21 18 24 24 19
Penetrated Low   16 15 12 7 15 14 18 14 17 18 9
Scenario Percentage   80% 68% 75% 58% 79% 64% 86% 78% 71% 75% 47%
Avg Max Decline   4.32% 4.67% 5.24% 5.46% 5.33% 6.69% 6.37% 6.59% 6.52% 6.15% 3.31%
Max Decline   17.36% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 7.32%
Avg Days To Max Decline   14 12 16 19 20 20 18 19 19 13 10
Avg Max Increase   -0.75% -0.72% -0.95% -1.78% -1.56% -0.71% -1.53% -1.46% -1.51% -1.60% -1.11%
Max Increase   -2.35% -2.07% -3.29% -3.40% -3.97% -2.22% -5.21% -3.01% -3.58% -4.35% -7.13%
Avg Days to Max Increase   3 3 7 12 7 7 10 11 5 7 3
2011 Contract Condition                 Yes Yes    
Action                 Not Yet      
High 99.400 100.300 103.400 106.250 110.275 115.650 118.775 122.275 122.900 116.275    
Low 95.450 97.350 97.325 101.800 104.125 107.825 112.850 111.725 114.025 114.025    
Close/Last 98.550 99.325 102.450 106.150 109.750 114.850 116.900 122.175 115.700 114.525    

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