|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Feeder Cattle(CME) as of Jan 06, 2009 |
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 |
8 |
29 |
33 |
34 |
34 |
36 |
36 |
37 |
37 |
37 |
37 |
| Closed Higher |
6 |
11 |
20 |
20 |
24 |
20 |
17 |
23 |
21 |
21 |
24 |
| Exceeded High |
5 |
6 |
18 |
19 |
20 |
13 |
14 |
19 |
17 |
19 |
20 |
| Scenario Percentage |
83% |
55% |
90% |
95% |
83% |
65% |
82% |
83% |
81% |
90% |
83% |
| Avg Max Increase |
4.67% |
3.81% |
4.33% |
5.29% |
4.58% |
6.87% |
6.93% |
6.03% |
7.22% |
6.48% |
4.10% |
| 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 |
13 |
20 |
16 |
15 |
18 |
19 |
19 |
19 |
15 |
15 |
| Avg Max Decline |
-1.32% |
-1.21% |
-1.07% |
-0.88% |
-1.27% |
-1.41% |
-1.31% |
-1.35% |
-1.51% |
-1.37% |
-0.97% |
| Max Decline |
-2.86% |
-3.21% |
-4.34% |
-5.57% |
-4.41% |
-5.00% |
-2.71% |
-3.56% |
-4.14% |
-4.71% |
-2.83% |
| Avg Days to Max Decline |
17 |
7 |
9 |
11 |
8 |
6 |
14 |
10 |
9 |
6 |
3 |
| 2008 Contract Condition |
Yes |
|
|
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
No |
|
|
|
Yes |
No |
|
Yes |
No |
|
Yes |
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 |
8 |
29 |
33 |
34 |
34 |
36 |
36 |
37 |
37 |
37 |
37 |
| Closed Lower |
2 |
18 |
13 |
14 |
10 |
16 |
19 |
14 |
16 |
16 |
13 |
| Penetrated Low |
2 |
11 |
7 |
8 |
7 |
13 |
16 |
8 |
9 |
10 |
10 |
| Scenario Percentage |
100% |
61% |
54% |
57% |
70% |
81% |
84% |
57% |
56% |
63% |
77% |
| Avg Max Decline |
4.30% |
5.20% |
7.10% |
5.08% |
7.76% |
6.17% |
6.14% |
7.53% |
9.89% |
5.65% |
7.26% |
| 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 |
14 |
19 |
18 |
16 |
18 |
19 |
14 |
10 |
| Avg Max Increase |
-1.68% |
-0.62% |
-0.47% |
-1.04% |
-0.98% |
-0.67% |
-1.58% |
-1.76% |
-1.35% |
-2.32% |
-2.46% |
| Max Increase |
-1.81% |
-2.35% |
-1.00% |
-2.29% |
-4.22% |
-2.00% |
-7.40% |
-4.29% |
-3.03% |
-6.78% |
-16.02% |
| Avg Days to Max Increase |
16 |
8 |
6 |
6 |
6 |
5 |
9 |
10 |
11 |
7 |
6 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
|
Yes |
|
| Action |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
|
Not Yet |
|
| High |
114.800 |
114.700 |
113.500 |
112.250 |
112.400 |
114.200 |
113.500 |
111.150 |
116.500 |
115.550 |
114.885 |
| Low |
112.800 |
112.500 |
111.450 |
109.000 |
106.900 |
110.600 |
103.675 |
103.100 |
107.200 |
107.850 |
109.200 |
| Close/Last |
113.950 |
113.000 |
111.930 |
110.980 |
112.275 |
113.025 |
105.750 |
108.530 |
116.030 |
111.885 |
113.800 |
|
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