|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Feeder Cattle(CME) as of Jan 07, 2009 |
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 |
7 |
26 |
33 |
33 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
3 |
15 |
19 |
23 |
20 |
16 |
23 |
21 |
21 |
23 |
22 |
| Exceeded High |
2 |
13 |
19 |
20 |
13 |
14 |
17 |
17 |
19 |
20 |
12 |
| Scenario Percentage |
67% |
87% |
100% |
87% |
65% |
88% |
74% |
81% |
90% |
87% |
55% |
| Avg Max Increase |
3.17% |
4.83% |
4.88% |
4.53% |
6.28% |
6.12% |
6.23% |
7.23% |
6.01% |
5.42% |
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 |
14 |
14 |
19 |
17 |
17 |
22 |
16 |
13 |
15 |
| Avg Max Decline |
-1.18% |
-0.73% |
-0.78% |
-1.01% |
-1.18% |
-0.96% |
-1.06% |
-1.67% |
-1.47% |
-1.58% |
-0.64% |
| Max Decline |
-2.20% |
-2.72% |
-6.06% |
-3.61% |
-4.67% |
-2.50% |
-3.12% |
-6.10% |
-4.86% |
-6.34% |
-1.79% |
| Avg Days to Max Decline |
5 |
11 |
9 |
7 |
5 |
7 |
10 |
11 |
7 |
5 |
2 |
| 2008 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
| Action |
|
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
7 |
26 |
33 |
33 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
4 |
11 |
13 |
10 |
16 |
20 |
14 |
16 |
16 |
14 |
14 |
| Penetrated Low |
3 |
8 |
7 |
6 |
14 |
15 |
8 |
11 |
10 |
10 |
10 |
| Scenario Percentage |
75% |
73% |
54% |
60% |
88% |
75% |
57% |
69% |
63% |
71% |
71% |
| Avg Max Decline |
2.12% |
5.73% |
5.18% |
8.47% |
5.67% |
5.95% |
7.54% |
8.47% |
6.44% |
6.02% |
6.82% |
| Max Decline |
3.80% |
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 |
20 |
20 |
16 |
22 |
17 |
16 |
17 |
18 |
15 |
15 |
15 |
| Avg Max Increase |
-0.88% |
-0.98% |
-1.02% |
-0.99% |
-0.65% |
-1.55% |
-1.22% |
-1.27% |
-1.84% |
-2.92% |
-1.28% |
| Max Increase |
-2.56% |
-2.93% |
-2.32% |
-4.37% |
-1.94% |
-8.09% |
-3.24% |
-4.09% |
-5.51% |
-8.36% |
-5.88% |
| Avg Days to Max Increase |
14 |
8 |
6 |
7 |
4 |
9 |
10 |
5 |
9 |
14 |
5 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
|
|
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
|
|
No |
|
|
No |
|
Yes |
| High |
113.850 |
112.800 |
111.700 |
111.700 |
114.000 |
112.750 |
111.950 |
117.250 |
116.500 |
115.800 |
118.200 |
| Low |
112.500 |
111.300 |
108.800 |
107.250 |
110.800 |
104.350 |
104.500 |
108.300 |
109.600 |
111.000 |
110.700 |
| Close/Last |
113.100 |
111.300 |
110.150 |
111.450 |
113.050 |
106.700 |
110.000 |
116.800 |
113.550 |
115.335 |
111.150 |
|
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