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 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Feeder Cattle(CME) as of Jun 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
6 |
24 |
31 |
31 |
34 |
34 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
3 |
15 |
18 |
22 |
18 |
15 |
21 |
20 |
20 |
21 |
22 |
| Exceeded High |
2 |
13 |
18 |
19 |
12 |
13 |
15 |
17 |
18 |
18 |
12 |
| Scenario Percentage |
67% |
87% |
100% |
86% |
67% |
87% |
71% |
85% |
90% |
86% |
55% |
| Avg Max Increase |
3.17% |
4.83% |
4.98% |
4.65% |
6.22% |
6.28% |
6.53% |
7.23% |
5.99% |
5.81% |
4.77% |
| Max Increase |
6.11% |
11.41% |
14.86% |
16.98% |
13.74% |
23.29% |
15.76% |
15.98% |
10.82% |
13.26% |
13.04% |
| Avg Days To Max Increase |
10 |
19 |
13 |
14 |
18 |
16 |
17 |
22 |
15 |
14 |
15 |
| Avg Max Decline |
-1.18% |
-0.73% |
-0.49% |
-1.04% |
-1.26% |
-0.97% |
-0.89% |
-1.67% |
-1.53% |
-1.61% |
-0.64% |
| Max Decline |
-2.20% |
-2.72% |
-1.75% |
-3.61% |
-4.67% |
-2.50% |
-2.87% |
-6.10% |
-4.86% |
-6.34% |
-1.79% |
| Avg Days to Max Decline |
5 |
11 |
8 |
7 |
5 |
7 |
10 |
11 |
7 |
6 |
2 |
| 2007 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
6 |
24 |
31 |
31 |
34 |
34 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
3 |
9 |
12 |
9 |
16 |
19 |
14 |
15 |
15 |
14 |
12 |
| Penetrated Low |
2 |
6 |
6 |
6 |
14 |
15 |
8 |
10 |
10 |
10 |
9 |
| Scenario Percentage |
67% |
67% |
50% |
67% |
88% |
79% |
57% |
67% |
67% |
71% |
75% |
| Avg Max Decline |
1.28% |
6.29% |
5.60% |
8.47% |
5.67% |
5.95% |
7.54% |
8.80% |
6.44% |
6.02% |
7.12% |
| Max Decline |
1.73% |
14.00% |
7.91% |
16.56% |
16.03% |
12.14% |
29.88% |
15.13% |
12.06% |
22.58% |
20.69% |
| Avg Days To Max Decline |
17 |
21 |
16 |
22 |
17 |
16 |
17 |
19 |
15 |
15 |
15 |
| Avg Max Increase |
-1.46% |
-0.75% |
-1.08% |
-0.99% |
-0.65% |
-1.55% |
-1.22% |
-1.39% |
-1.84% |
-2.92% |
-1.34% |
| Max Increase |
-2.56% |
-1.99% |
-2.32% |
-4.37% |
-1.94% |
-8.09% |
-3.24% |
-4.09% |
-5.51% |
-8.36% |
-5.88% |
| Avg Days to Max Increase |
18 |
7 |
6 |
7 |
4 |
9 |
10 |
5 |
9 |
14 |
6 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
|
|
|
Yes |
|
|
|
| Action |
|
Yes |
|
No |
|
|
|
Yes |
|
|
|
| High |
107.750 |
103.300 |
103.500 |
103.250 |
105.400 |
110.000 |
112.400 |
113.850 |
112.100 |
|
|
| Low |
102.500 |
96.300 |
100.200 |
96.050 |
99.300 |
104.700 |
108.400 |
108.750 |
105.650 |
|
|
| Close/Last |
102.700 |
100.550 |
102.250 |
99.400 |
105.000 |
109.400 |
112.250 |
111.300 |
111.850 |
|
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