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MRCI's ScenarioSM Study
ScenarioSM Study for January Feeder Cattle(CME) as of Jan 10, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 8 17 18 22 22 23 25 25 25 25 25
Closed Higher 5 6 12 13 12 16 12 14 9 16 14
Exceeded High 4 6 9 12 12 11 11 12 7 13 11
Scenario Percentage 80% 100% 75% 92% 100% 69% 92% 86% 78% 81% 79%
Avg Max Increase 6.54% 6.72% 4.62% 5.03% 4.84% 4.21% 3.22% 4.08% 3.70% 5.22% 3.28%
Max Increase 15.76% 23.36% 14.18% 9.86% 10.16% 9.97% 10.40% 8.09% 7.86% 10.33% 7.28%
Avg Days To Max Increase 20 14 19 21 17 16 11 18 20 20 16
Avg Max Decline -0.93% -1.48% -0.77% -2.45% -1.24% -1.11% -1.34% -1.95% -1.55% -2.11% -0.61%
Max Decline -4.25% -7.28% -2.36% -11.41% -3.46% -5.37% -5.73% -7.29% -4.34% -5.38% -2.57%
Avg Days to Max Decline 7 10 15 12 5 7 9 10 9 12 4
2003 Contract Condition         Yes Yes Yes Yes Yes Yes  
Action         Yes Yes Yes Yes Yes Yes  
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 8 17 18 22 22 23 25 25 25 25 25
Closed Lower 3 11 6 9 10 7 13 10 16 9 10
Penetrated Low 2 9 3 5 7 6 9 10 8 6 5
Scenario Percentage 67% 82% 50% 56% 70% 86% 69% 100% 50% 67% 50%
Avg Max Decline 5.73% 3.26% 5.04% 6.11% 6.06% 4.01% 2.47% 3.91% 6.81% 7.39% 14.95%
Max Decline 5.96% 9.21% 7.31% 10.44% 10.88% 5.89% 5.40% 10.80% 14.68% 13.88% 44.07%
Avg Days To Max Decline 21 20 18 21 17 10 18 18 18 17 15
Avg Max Increase -0.07% -2.07% -0.27% -0.91% -1.64% -2.13% -2.21% -1.55% -1.94% -1.45% -1.74%
Max Increase -0.14% -6.97% -0.84% -1.76% -4.42% -6.75% -6.22% -4.88% -3.99% -3.74% -4.18%
Avg Days to Max Increase 4 10 5 12 11 11 18 9 13 6 7
2003 Contract Condition   Yes Yes Yes             Yes
Action   Yes No No             Yes
High 86.500 85.600 83.100 79.250 78.200 78.625 78.550 80.200 82.350 85.225 85.600
Low 84.400 81.750 72.550 74.500 74.850 74.900 75.000 76.550 77.800 81.750 82.650
Close/Last 84.550 82.400 78.000 74.700 75.800 76.125 77.875 79.225 81.825 84.625 83.800