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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) as of May 16, 2003
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 7 20 26 27 27 29 29 31 31 31 31
Closed Higher 4 11 15 13 15 11 18 18 21 17 15
Exceeded High 4 10 9 10 12 7 16 18 17 12 12
Scenario Percentage 100% 91% 60% 77% 80% 64% 89% 100% 81% 71% 80%
Avg Max Increase 7.44% 4.79% 3.83% 3.32% 4.09% 4.09% 5.21% 5.68% 5.80% 7.23% 4.36%
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 21 19 18 13 20 18 19 15 14 12 13
Avg Max Decline -3.42% -0.76% -1.33% -1.58% -1.33% -1.45% -1.41% -1.05% -1.41% -1.30% -1.13%
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 9 9 11 10 11 9 10 8 9 5 1
2003 Contract Condition   Yes Yes Yes Yes Yes Yes       Yes
Action   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 7 20 26 27 27 29 29 31 31 31 31
Closed Lower 3 9 11 14 12 17 11 13 10 14 16
Penetrated Low 3 7 9 8 11 10 6 9 7 10 9
Scenario Percentage 100% 78% 82% 57% 92% 59% 55% 69% 70% 71% 56%
Avg Max Decline 4.39% 5.77% 4.96% 2.72% 3.47% 6.44% 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 15 20 20 20 22 20 14 17
Avg Max Increase -0.94% -1.16% -2.05% -1.34% -1.04% -1.28% -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 13 10 15 8 9 7 5 4
2003 Contract Condition Yes             Yes Yes Yes  
Action Yes             Yes Yes Yes  
High 78.250 77.250 76.800 77.600 78.525 79.300 82.750 83.500 82.800 80.475 78.250
Low 74.450 74.750 74.200 75.000 75.700 75.800 78.600 80.650 78.150 75.050 74.050
Close/Last 74.450 74.750 75.500 76.700 76.900 78.750 82.425 81.600 80.650 75.975 78.150