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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) as of Jun 09, 2004
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 21 27 28 28 30 30 32 32 32 32
Closed Higher 5 11 16 14 15 12 19 18 22 18 16
Exceeded High 5 10 10 11 12 7 17 18 18 13 13
Scenario Percentage 100% 91% 63% 79% 80% 58% 89% 100% 82% 72% 81%
Avg Max Increase 6.35% 4.79% 3.78% 3.93% 4.09% 4.09% 5.02% 5.68% 5.79% 7.63% 4.59%
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 20 18 18 15 14 13 14
Avg Max Decline -3.31% -0.76% -1.36% -1.63% -1.33% -1.45% -1.33% -1.05% -1.51% -1.32% -1.10%
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 11 11 11 9 9 8 9 5 1
2004 Contract Condition Yes   Yes Yes   Yes Yes   Yes Yes Yes
Action Yes   Yes Yes   No 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 8 21 27 28 28 30 30 32 32 32 32
Closed Lower 3 10 11 14 13 17 11 14 10 14 16
Penetrated Low 3 7 9 8 11 10 6 9 7 10 9
Scenario Percentage 100% 70% 82% 57% 85% 59% 55% 64% 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% 9.16%
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 18
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
2004 Contract Condition   Yes     Yes     Yes      
Action   No     No     No      
High 84.500 84.600 85.900 86.950 88.350 94.900 90.800 92.300 86.850 86.200 90.250
Low 81.500 81.800 83.400 84.100 84.400 86.000 86.950 78.300 79.600 82.700 84.200
Close/Last 84.200 83.900 85.500 86.250 86.000 87.700 90.500 79.050 85.400 85.500 89.500