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MRCI's ScenarioSM Study
ScenarioSM Study for November Feeder Cattle(CME) as of Jan 13, 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% 3.88% 1.88%
Max Increase 14.30% 16.22% 13.46% 23.93% 16.07% 18.16% 33.08% 12.84% 16.13% 10.84% 4.36%
Avg Days To Max Increase 14 14 18 16 19 20 16 15 10 11 10
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
2004 Contract Condition   Yes Yes   Yes Yes Yes Yes   Yes  
Action   Yes Yes   Yes Yes Yes Yes   Yes  
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Some data provided by Prophetfinance.com
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% 8.48%
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% -0.85%
Max Increase -0.57% -3.69% -1.94% -6.67% -1.69% -4.01% -4.87% -8.96% -3.73% -7.18% -4.05%
Avg Days to Max Increase 9 4 5 8 4 4 8 9 4 10 4
2004 Contract Condition       Yes         Yes   Yes
Action       No         Yes   Yes
High 91.800 89.250 89.100 89.700 98.000 104.200 108.000 111.150 113.400 112.400 113.500
Low 82.000 82.250 87.100 86.250 86.500 96.000 100.800 102.550 107.150 105.400 108.900
Close/Last 82.100 88.250 88.400 87.150 97.000 103.300 105.400 109.100 108.425 109.500 109.200