|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Feeder Cattle(CME) as of Jul 31, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
5 |
28 |
31 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
3 |
17 |
22 |
19 |
15 |
21 |
22 |
20 |
21 |
22 |
19 |
| Exceeded High |
3 |
17 |
19 |
12 |
13 |
15 |
18 |
19 |
18 |
20 |
13 |
| Scenario Percentage |
100% |
100% |
86% |
63% |
87% |
71% |
82% |
95% |
86% |
91% |
68% |
| Avg Max Increase |
6.93% |
5.19% |
4.31% |
6.20% |
5.99% |
6.51% |
6.91% |
7.31% |
5.19% |
5.16% |
2.99% |
| Max Increase |
10.29% |
14.38% |
15.47% |
13.16% |
24.60% |
17.00% |
17.69% |
33.68% |
13.80% |
17.30% |
10.87% |
| Avg Days To Max Increase |
21 |
14 |
14 |
19 |
17 |
20 |
22 |
15 |
15 |
12 |
12 |
| Avg Max Decline |
-0.56% |
-0.48% |
-1.00% |
-1.21% |
-1.15% |
-1.03% |
-1.68% |
-1.51% |
-1.74% |
-1.39% |
-0.68% |
| Max Decline |
-1.01% |
-1.90% |
-3.21% |
-5.02% |
-2.84% |
-3.10% |
-7.28% |
-4.59% |
-6.61% |
-7.38% |
-2.04% |
| Avg Days to Max Decline |
9 |
6 |
9 |
8 |
6 |
11 |
11 |
9 |
6 |
3 |
3 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
|
Yes |
|
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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
5 |
28 |
31 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
2 |
11 |
9 |
15 |
20 |
14 |
13 |
14 |
14 |
13 |
15 |
| Penetrated Low |
1 |
5 |
6 |
12 |
16 |
8 |
11 |
10 |
11 |
9 |
9 |
| Scenario Percentage |
50% |
45% |
67% |
80% |
80% |
57% |
85% |
71% |
79% |
69% |
60% |
| Avg Max Decline |
9.34% |
6.04% |
8.73% |
5.78% |
6.99% |
7.61% |
6.81% |
6.50% |
6.97% |
5.55% |
10.08% |
| Max Decline |
9.34% |
8.12% |
16.84% |
14.96% |
30.86% |
31.86% |
13.63% |
12.55% |
24.37% |
16.33% |
48.40% |
| Avg Days To Max Decline |
31 |
23 |
23 |
18 |
18 |
10 |
16 |
14 |
13 |
10 |
15 |
| Avg Max Increase |
-0.68% |
-1.17% |
-0.95% |
-0.64% |
-1.69% |
-0.82% |
-1.32% |
-1.71% |
-3.00% |
-0.90% |
-1.71% |
| Max Increase |
-0.68% |
-2.26% |
-4.16% |
-1.74% |
-6.89% |
-2.02% |
-4.47% |
-4.73% |
-7.79% |
-4.23% |
-4.09% |
| Avg Days to Max Increase |
8 |
6 |
8 |
4 |
10 |
5 |
5 |
7 |
9 |
3 |
5 |
| 2007 Contract Condition |
Yes |
|
Yes |
|
|
|
Yes |
|
|
|
|
| Action |
No |
|
No |
|
|
|
Yes |
|
|
|
|
| High |
103.200 |
102.900 |
102.300 |
105.500 |
110.000 |
111.700 |
112.850 |
112.000 |
118.980 |
|
|
| Low |
96.000 |
99.800 |
96.250 |
99.500 |
104.975 |
107.600 |
108.100 |
105.600 |
111.250 |
|
|
| Close/Last |
100.300 |
101.800 |
99.700 |
105.400 |
109.000 |
111.530 |
110.780 |
111.900 |
118.885 |
|
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