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MRCI's ScenarioSM Study
ScenarioSM Study for August Feeder Cattle(CME) as of Sep 18, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 7 25 28 29 29 31 31 32 32 32 32
Closed Higher 5 9 18 18 21 18 15 19 17 18 21
Exceeded High 5 5 16 17 17 12 12 15 14 17 17
Scenario Percentage 100% 56% 89% 94% 81% 67% 80% 79% 82% 94% 81%
Avg Max Increase 4.67% 3.59% 4.65% 5.65% 4.77% 6.84% 7.35% 5.62% 7.51% 6.41% 4.47%
Max Increase 7.53% 6.02% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 12.05% 13.56%
Avg Days To Max Increase 21 9 22 15 15 19 19 19 19 14 14
Avg Max Decline -1.32% -1.35% -1.20% -0.61% -1.20% -1.46% -1.26% -1.33% -1.47% -1.39% -0.84%
Max Decline -2.86% -3.21% -4.34% -2.40% -4.41% -5.00% -2.71% -3.56% -4.14% -4.71% -2.27%
Avg Days to Max Decline 17 8 10 11 7 6 12 12 10 6 3
2003 Contract Condition Yes Yes Yes       Yes Yes Yes Yes Yes
Action Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 7 25 28 29 29 31 31 32 32 32 32
Closed Lower 2 16 10 11 8 13 16 13 15 14 11
Penetrated Low 2 9 5 7 6 11 14 8 8 9 9
Scenario Percentage 100% 56% 50% 64% 75% 85% 88% 62% 53% 64% 82%
Avg Max Decline 4.30% 5.17% 8.45% 5.28% 7.94% 6.32% 6.58% 7.53% 10.46% 5.87% 7.91%
Max Decline 6.29% 15.87% 15.49% 8.18% 16.93% 18.30% 12.76% 29.63% 15.85% 10.89% 43.47%
Avg Days To Max Decline 22 17 21 15 18 19 18 18 19 14 10
Avg Max Increase -1.68% -0.65% -0.41% -1.14% -1.09% -0.59% -1.70% -1.76% -1.51% -2.24% -2.69%
Max Increase -1.81% -2.35% -0.75% -2.29% -4.22% -2.00% -7.40% -4.29% -3.03% -6.78% -16.02%
Avg Days to Max Increase 16 6 2 5 7 5 10 10 12 7 7
2003 Contract Condition       Yes Yes Yes          
Action       Yes Yes Yes          
High 80.500 81.300 84.950 85.700 84.950 82.950 81.650 83.825 86.175 86.800 91.275
Low 77.300 77.900 81.000 83.250 81.600 79.200 78.400 81.200 81.675 83.650 85.850
Close/Last 79.000 81.200 84.900 84.050 83.000 80.575 81.500 83.725 85.300 86.700 90.350