|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Feeder Cattle(CME) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
12 |
21 |
24 |
26 |
27 |
27 |
30 |
30 |
30 |
30 |
30 |
| Closed Higher |
5 |
12 |
11 |
15 |
12 |
15 |
16 |
20 |
19 |
14 |
17 |
| Exceeded High |
5 |
7 |
8 |
12 |
9 |
13 |
16 |
16 |
15 |
13 |
10 |
| Scenario Percentage |
100% |
58% |
73% |
80% |
75% |
87% |
100% |
80% |
79% |
93% |
59% |
| Avg Max Increase |
4.07% |
4.15% |
3.95% |
4.12% |
2.87% |
5.47% |
5.70% |
6.29% |
6.09% |
5.86% |
3.59% |
| Max Increase |
6.75% |
8.60% |
10.67% |
8.83% |
6.51% |
10.55% |
17.01% |
16.55% |
21.46% |
16.83% |
11.90% |
| Avg Days To Max Increase |
15 |
21 |
15 |
21 |
18 |
21 |
17 |
17 |
18 |
13 |
14 |
| Avg Max Decline |
-0.99% |
-1.47% |
-1.61% |
-2.00% |
-1.00% |
-1.58% |
-0.91% |
-1.45% |
-2.10% |
-2.10% |
-0.49% |
| Max Decline |
-2.40% |
-4.48% |
-4.98% |
-9.65% |
-3.19% |
-4.84% |
-2.66% |
-5.66% |
-5.23% |
-4.62% |
-1.82% |
| Avg Days to Max Decline |
5 |
11 |
9 |
13 |
6 |
11 |
11 |
11 |
10 |
9 |
2 |
| 2001 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
Yes |
|
Yes |
| Action |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
Yes |
|
Not Yet |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
12 |
21 |
24 |
26 |
27 |
27 |
30 |
30 |
30 |
30 |
30 |
| Closed Lower |
7 |
9 |
11 |
11 |
15 |
11 |
14 |
10 |
11 |
16 |
13 |
| Penetrated Low | 6 |
7 |
7 |
10 |
10 |
7 |
8 |
8 |
8 |
13 |
8 |
| Scenario Percentage |
86% |
78% |
64% |
91% |
67% |
64% |
57% |
80% |
73% |
81% |
62% |
| Avg Max Decline |
5.15% |
4.98% |
2.25% |
3.06% |
5.14% |
7.45% |
6.66% |
6.98% |
8.12% |
7.12% |
3.87% |
| Max Decline |
7.50% |
13.63% |
4.73% |
10.14% |
18.56% |
17.50% |
16.54% |
17.19% |
18.27% |
17.99% |
7.25% |
| Avg Days To Max Decline |
14 |
13 |
12 |
19 |
18 |
22 |
23 |
20 |
23 |
13 |
13 |
| Avg Max Increase |
-1.74% |
-1.47% |
-1.45% |
-1.06% |
-1.15% |
-1.13% |
-1.41% |
-1.54% |
-1.06% |
-1.61% |
-1.74% |
| Max Increase |
-4.57% |
-5.64% |
-3.14% |
-2.19% |
-3.22% |
-2.48% |
-3.09% |
-4.46% |
-3.22% |
-7.21% |
-9.70% |
| Avg Days to Max Increase |
11 |
7 |
13 |
13 |
12 |
8 |
8 |
8 |
8 |
7 |
4 |
| 2001 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
Yes |
|
| Action |
|
Yes |
Yes |
|
|
Yes |
|
No |
|
Not Yet |
|
| High |
88.700 |
89.600 |
87.800 |
88.100 |
88.500 |
88.400 |
89.800 |
89.900 |
88.250 |
88.600 |
88.150 |
| Low |
87.125 |
87.500 |
85.900 |
85.700 |
87.300 |
86.850 |
87.600 |
85.050 |
85.850 |
85.800 |
86.400 |
| Close/Last |
88.700 |
87.550 |
86.050 |
87.950 |
88.150 |
87.725 |
89.475 |
85.550 |
88.000 |
86.850 |
87.650 |
|
|