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MRCI's ScenarioSM Study
ScenarioSM Study for January Feeder Cattle(CME) as of Sep 30, 2006
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 20 22 26 26 27 29 29 29 29 29
Closed Higher 5 8 15 16 15 19 15 18 12 19 14
Exceeded High 4 8 12 15 15 14 14 16 10 16 11
Scenario Percentage 80% 100% 80% 94% 100% 74% 93% 89% 83% 84% 79%
Avg Max Increase 6.54% 6.40% 5.00% 4.84% 5.00% 4.38% 4.67% 4.81% 4.21% 4.41% 3.21%
Max Increase 15.76% 23.36% 14.18% 9.86% 10.16% 9.97% 15.07% 12.29% 8.07% 10.33% 7.28%
Avg Days To Max Increase 20 14 17 21 17 16 12 20 15 16 16
Avg Max Decline -0.93% -1.12% -0.63% -2.37% -1.09% -1.17% -1.41% -1.67% -1.33% -1.75% -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 9 13 11 4 6 9 9 9 10 4
2007 Contract Condition       Yes Yes Yes Yes        
Action       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 20 22 26 26 27 29 29 29 29 29
Closed Lower 3 12 7 10 11 8 14 10 17 10 14
Penetrated Low 2 10 3 5 8 6 10 10 9 6 7
Scenario Percentage 67% 83% 43% 50% 73% 75% 71% 100% 53% 60% 50%
Avg Max Decline 5.73% 4.13% 5.04% 6.11% 5.73% 4.01% 2.46% 3.91% 6.69% 7.38% 11.79%
Max Decline 5.96% 11.95% 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 16 18 18 17 17
Avg Max Increase -0.07% -1.94% -0.27% -0.91% -1.67% -2.13% -1.94% -1.55% -1.76% -1.45% -1.45%
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 9 5 12 10 11 16 9 11 6 6
2007 Contract Condition Yes Yes Yes         Yes      
Action Yes Yes No         Not Yet      
High 108.375 104.600 101.250 103.750 110.500 109.000 114.100 115.500      
Low 104.400 101.300 97.250 98.400 102.450 105.600 107.100 108.000      
Close/Last 104.450 101.300 98.400 103.400 106.600 109.000 113.425 108.450