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MRCI's ScenarioSM Study
ScenarioSM Study for May Feeder Cattle(CME) as of May 29, 2003
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 13 23 26 28 29 29 32 32 32 32 32
Closed Higher 5 13 13 16 13 16 17 21 19 15 18
Exceeded High 5 8 9 13 10 14 17 17 15 14 11
Scenario Percentage 100% 62% 69% 81% 77% 88% 100% 81% 79% 93% 61%
Avg Max Increase 4.07% 4.16% 3.92% 4.40% 3.17% 5.15% 5.45% 5.96% 6.09% 5.73% 3.42%
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 16 22 16 20 16 16 18 14 15
Avg Max Decline -0.99% -1.35% -1.57% -1.93% -0.91% -1.47% -0.93% -1.39% -2.10% -1.98% -0.51%
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 10 8 12 5 10 11 10 10 8 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 13 23 26 28 29 29 32 32 32 32 32
Closed Lower 8 10 11 12 16 12 15 11 13 17 14
Penetrated Low 7 8 7 11 11 7 9 9 10 14 8
Scenario Percentage 88% 80% 64% 92% 69% 58% 60% 82% 77% 82% 57%
Avg Max Decline 4.66% 4.90% 2.25% 3.66% 5.38% 7.45% 6.76% 6.98% 8.30% 7.42% 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 13 15 12 18 18 22 22 19 22 14 13
Avg Max Increase -1.50% -1.36% -1.45% -1.16% -1.08% -1.13% -1.37% -1.34% -1.06% -1.63% -1.74%
Max Increase -4.57% -5.64% -3.14% -2.23% -3.22% -2.48% -3.09% -4.46% -3.22% -7.21% -9.70%
Avg Days to Max Increase 10 8 13 13 11 8 8 8 8 7 4
2003 Contract Condition             Yes Yes Yes    
Action             Yes Yes Yes    
High 75.800 76.800 77.400 78.700 79.500 82.950 83.750 83.000 80.450 78.500 79.825
Low 75.050 74.650 75.150 75.700 76.050 79.050 81.300 78.800 75.900 75.050 77.650
Close/Last 75.050 75.500 76.700 76.900 79.100 82.850 82.100 80.700 77.275 78.000 79.775