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| MRCI's ScenarioSM Study |
| ScenarioSM Study for November Feeder Cattle(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
12 |
25 |
30 |
31 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
9 |
18 |
16 |
13 |
19 |
19 |
20 |
20 |
19 |
20 |
14 |
| Exceeded High |
9 |
14 |
10 |
12 |
13 |
16 |
19 |
18 |
17 |
16 |
5 |
| Scenario Percentage |
100% |
78% |
63% |
92% |
68% |
84% |
95% |
90% |
89% |
80% |
36% |
| Avg Max Increase |
5.66% |
3.79% |
6.03% |
6.13% |
6.75% |
6.83% |
6.97% |
5.31% |
5.18% |
3.71% |
1.51% |
| Max Increase |
14.30% |
16.22% |
13.46% |
23.93% |
16.07% |
18.16% |
33.08% |
12.84% |
16.13% |
10.84% |
2.72% |
| Avg Days To Max Increase |
14 |
14 |
18 |
16 |
19 |
20 |
16 |
15 |
10 |
11 |
9 |
| Avg Max Decline |
-0.21% |
-0.86% |
-1.14% |
-0.81% |
-1.09% |
-1.17% |
-1.33% |
-1.54% |
-1.27% |
-1.49% |
-0.91% |
| Max Decline |
-0.59% |
-3.23% |
-5.05% |
-1.95% |
-2.81% |
-4.10% |
-3.99% |
-5.19% |
-7.19% |
-8.14% |
-1.65% |
| Avg Days to Max Decline |
6 |
5 |
8 |
6 |
12 |
10 |
9 |
6 |
6 |
5 |
3 |
| 2001 Contract Condition |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
Yes |
| Action |
Yes |
|
No |
|
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
12 |
25 |
30 |
31 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
3 |
7 |
14 |
17 |
12 |
14 |
13 |
13 |
14 |
13 |
17 |
| Penetrated Low |
1 |
4 |
11 |
13 |
7 |
11 |
9 |
11 |
9 |
10 |
11 |
| Scenario Percentage |
33% |
57% |
79% |
76% |
58% |
79% |
69% |
85% |
64% |
77% |
65% |
| Avg Max Decline |
5.69% |
6.14% |
7.09% |
5.66% |
3.91% |
6.72% |
6.22% |
7.27% |
6.08% |
3.42% |
8.24% |
| Max Decline |
5.69% |
16.98% |
22.26% |
11.39% |
8.27% |
12.57% |
12.22% |
25.87% |
16.68% |
10.34% |
44.65% |
| Avg Days To Max Decline |
1 |
14 |
15 |
17 |
16 |
17 |
14 |
12 |
10 |
13 |
11 |
| Avg Max Increase |
-0.57% |
-1.04% |
-0.65% |
-1.38% |
-0.67% |
-1.17% |
-1.62% |
-2.20% |
-0.76% |
-2.16% |
-0.82% |
| Max Increase |
-0.57% |
-3.69% |
-1.94% |
-6.67% |
-1.69% |
-4.01% |
-4.87% |
-8.96% |
-3.73% |
-7.18% |
-3.73% |
| Avg Days to Max Increase |
9 |
4 |
5 |
8 |
4 |
4 |
8 |
9 |
4 |
10 |
3 |
| 2001 Contract Condition |
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
|
| Action |
|
No |
|
No |
|
|
Yes |
Yes |
|
Yes |
|
| High |
89.800 |
89.875 |
89.200 |
89.175 |
89.000 |
91.650 |
92.300 |
91.400 |
90.700 |
91.300 |
88.500 |
| Low |
88.400 |
86.400 |
87.100 |
87.450 |
88.075 |
87.750 |
90.550 |
89.750 |
89.025 |
84.700 |
84.250 |
| Close/Last |
89.325 |
87.050 |
88.975 |
87.775 |
88.900 |
91.650 |
91.200 |
89.900 |
90.475 |
85.125 |
86.550 |
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