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MRCI's ScenarioSM Study
ScenarioSM Study for August Feeder Cattle(CME) as of Aug 31, 2004
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 26 29 30 30 32 32 33 33 33 33
Closed Higher 5 10 19 18 22 18 15 20 18 19 22
Exceeded High 5 5 17 17 18 12 12 16 15 18 18
Scenario Percentage 100% 50% 89% 94% 82% 67% 80% 80% 83% 95% 82%
Avg Max Increase 4.67% 3.59% 4.46% 5.65% 4.58% 6.84% 7.35% 6.28% 7.57% 6.49% 4.39%
Max Increase 7.53% 6.02% 11.09% 15.56% 16.73% 17.28% 24.60% 17.35% 14.63% 11.53% 13.56%
Avg Days To Max Increase 21 9 20 15 15 19 19 19 19 15 15
Avg Max Decline -1.32% -1.35% -1.10% -0.61% -1.24% -1.46% -1.26% -1.29% -1.53% -1.41% -0.95%
Max Decline -2.86% -3.21% -4.34% -2.40% -4.41% -5.00% -2.71% -3.56% -4.14% -4.71% -2.83%
Avg Days to Max Decline 17 8 9 11 7 6 12 12 10 6 3
2004 Contract Condition   Yes Yes   Yes     Yes Yes Yes Yes
Action   No 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 26 29 30 30 32 32 33 33 33 33
Closed Lower 2 16 10 12 8 14 17 13 15 14 11
Penetrated Low 2 9 5 7 6 12 14 8 8 9 9
Scenario Percentage 100% 56% 50% 58% 75% 86% 82% 62% 53% 64% 82%
Avg Max Decline 4.30% 5.17% 8.45% 5.28% 7.94% 6.02% 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% -0.67% -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
2004 Contract Condition       Yes   Yes Yes        
Action       No   Yes No        
High 88.350 93.250 91.750 93.000 89.300 89.000 89.500 99.600 108.350 114.250 116.100
Low 84.500 85.175 88.500 81.600 82.700 86.600 85.700 86.175 97.800 104.575 107.500
Close/Last 85.250 88.650 91.600 82.350 88.250 88.150 87.575 98.425 107.200 109.400 114.650