|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Feeder Cattle(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
8 |
22 |
28 |
29 |
29 |
31 |
31 |
33 |
33 |
33 |
33 |
| Closed Higher |
5 |
12 |
17 |
14 |
16 |
12 |
19 |
18 |
23 |
18 |
17 |
| Exceeded High |
5 |
11 |
11 |
11 |
13 |
7 |
17 |
18 |
19 |
13 |
14 |
| Scenario Percentage |
100% |
92% |
65% |
79% |
81% |
58% |
89% |
100% |
83% |
72% |
82% |
| Avg Max Increase |
6.35% |
4.98% |
3.66% |
3.93% |
3.97% |
4.09% |
5.02% |
5.68% |
5.90% |
7.53% |
4.43% |
| Max Increase |
9.27% |
9.99% |
8.89% |
10.58% |
7.61% |
7.62% |
10.71% |
16.45% |
18.88% |
21.09% |
13.09% |
| Avg Days To Max Increase |
22 |
19 |
17 |
13 |
21 |
18 |
18 |
15 |
15 |
12 |
14 |
| Avg Max Decline |
-3.31% |
-0.69% |
-1.26% |
-1.63% |
-1.24% |
-1.45% |
-1.33% |
-1.05% |
-1.62% |
-1.32% |
-1.02% |
| Max Decline |
-9.58% |
-2.20% |
-4.91% |
-5.68% |
-4.22% |
-3.55% |
-4.91% |
-3.29% |
-5.36% |
-4.57% |
-4.35% |
| Avg Days to Max Decline |
11 |
9 |
10 |
11 |
11 |
9 |
9 |
8 |
10 |
5 |
2 |
| 2002 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
|
|
|
No |
|
|
|
Yes |
Yes |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
8 |
22 |
28 |
29 |
29 |
31 |
31 |
33 |
33 |
33 |
33 |
| Closed Lower |
3 |
10 |
11 |
15 |
13 |
18 |
12 |
15 |
10 |
15 |
16 |
| Penetrated Low |
3 |
7 |
9 |
9 |
11 |
11 |
6 |
9 |
7 |
10 |
9 |
| Scenario Percentage |
100% |
70% |
82% |
60% |
85% |
61% |
50% |
60% |
70% |
67% |
56% |
| Avg Max Decline |
4.39% |
5.77% |
4.96% |
2.55% |
3.47% |
6.46% |
8.03% |
7.01% |
7.99% |
7.89% |
9.13% |
| Max Decline |
8.48% |
10.47% |
14.00% |
4.94% |
10.27% |
18.71% |
17.23% |
15.63% |
16.52% |
13.35% |
25.27% |
| Avg Days To Max Decline |
24 |
10 |
14 |
14 |
20 |
20 |
20 |
22 |
20 |
14 |
17 |
| Avg Max Increase |
-0.94% |
-1.16% |
-2.05% |
-1.14% |
-1.04% |
-1.17% |
-1.11% |
-1.77% |
-1.90% |
-0.56% |
-1.59% |
| Max Increase |
-3.76% |
-4.71% |
-6.32% |
-2.92% |
-2.23% |
-3.41% |
-3.15% |
-3.59% |
-5.10% |
-2.82% |
-5.67% |
| Avg Days to Max Increase |
7 |
5 |
11 |
12 |
10 |
14 |
8 |
9 |
7 |
5 |
4 |
| 2002 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
|
Yes |
Yes |
|
Yes |
Yes |
No |
|
|
Yes |
Yes |
| High |
90.700 |
91.150 |
90.200 |
89.900 |
89.900 |
87.000 |
84.400 |
84.600 |
85.025 |
85.400 |
82.875 |
| Low |
88.300 |
90.000 |
88.950 |
88.500 |
84.600 |
83.250 |
77.050 |
80.500 |
83.075 |
81.250 |
77.900 |
| Close/Last |
90.700 |
90.250 |
88.950 |
89.800 |
85.100 |
83.600 |
83.400 |
84.050 |
84.875 |
81.550 |
78.750 |
|
|