|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
7 |
30 |
33 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
3 |
18 |
23 |
21 |
16 |
23 |
23 |
21 |
23 |
22 |
19 |
| Exceeded High |
3 |
18 |
20 |
13 |
14 |
17 |
18 |
20 |
20 |
20 |
13 |
| Scenario Percentage |
100% |
100% |
87% |
62% |
88% |
74% |
78% |
95% |
87% |
91% |
68% |
| Avg Max Increase |
6.93% |
5.10% |
4.23% |
6.18% |
5.81% |
6.18% |
6.91% |
7.28% |
4.80% |
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 |
20 |
17 |
21 |
22 |
16 |
14 |
12 |
12 |
| Avg Max Decline |
-0.56% |
-0.76% |
-0.97% |
-1.15% |
-1.16% |
-1.18% |
-1.68% |
-1.46% |
-1.74% |
-1.39% |
-0.68% |
| Max Decline |
-1.01% |
-5.45% |
-3.21% |
-5.02% |
-2.84% |
-3.10% |
-7.28% |
-4.59% |
-6.61% |
-7.38% |
-2.04% |
| Avg Days to Max Decline |
9 |
7 |
8 |
7 |
7 |
11 |
11 |
8 |
6 |
3 |
3 |
| 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
7 |
30 |
33 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
4 |
12 |
10 |
15 |
21 |
14 |
14 |
15 |
14 |
15 |
17 |
| Penetrated Low |
2 |
6 |
6 |
12 |
16 |
8 |
12 |
11 |
11 |
11 |
11 |
| Scenario Percentage |
50% |
50% |
60% |
80% |
76% |
57% |
86% |
73% |
79% |
73% |
65% |
| Avg Max Decline |
6.51% |
5.41% |
8.73% |
5.78% |
6.99% |
7.61% |
6.63% |
6.31% |
6.97% |
6.37% |
9.46% |
| 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 |
22 |
21 |
23 |
18 |
18 |
10 |
16 |
15 |
13 |
11 |
16 |
| Avg Max Increase |
-0.34% |
-1.09% |
-0.95% |
-0.64% |
-1.69% |
-0.82% |
-1.21% |
-1.88% |
-3.00% |
-0.98% |
-1.41% |
| 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 |
5 |
7 |
8 |
4 |
10 |
5 |
5 |
10 |
9 |
3 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
|
Yes |
|
Yes |
Yes |
| Action |
Yes |
Yes |
|
|
No |
|
|
Yes |
|
Yes |
Yes |
| High |
112.600 |
111.500 |
111.400 |
113.750 |
113.400 |
112.700 |
117.900 |
117.350 |
117.300 |
118.730 |
111.950 |
| Low |
111.500 |
108.400 |
107.400 |
110.300 |
104.300 |
104.600 |
109.250 |
110.200 |
112.200 |
109.650 |
102.800 |
| Close/Last |
111.500 |
109.900 |
110.800 |
113.500 |
106.900 |
110.980 |
117.835 |
114.680 |
116.430 |
110.950 |
104.000 |
|
|
