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MRCI's ScenarioSM Study
ScenarioSM Study for February Live Cattle(CME) as of Mar 19, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 30 36 37 37 38 38 38 38 38 38 38
Closed Higher 15 16 17 20 23 15 21 20 24 23 25
Exceeded High 13 12 15 19 17 12 20 11 21 23 21
Scenario Percentage 87% 75% 88% 95% 74% 80% 95% 55% 88% 100% 84%
Avg Max Increase 5.10% 5.31% 5.22% 6.58% 3.84% 3.68% 4.27% 5.72% 6.57% 8.09% 4.63%
Max Increase 20.95% 13.59% 24.14% 28.67% 14.74% 7.91% 9.25% 12.34% 14.42% 23.28% 8.94%
Avg Days To Max Increase 15 18 18 17 17 14 21 16 18 16 16
Avg Max Decline -0.83% -0.89% -1.45% -1.29% -2.02% -1.27% -2.00% -1.08% -1.67% -1.24% -0.71%
Max Decline -2.14% -3.30% -4.69% -5.28% -8.02% -3.25% -8.32% -3.73% -7.80% -3.89% -4.16%
Avg Days to Max Decline 6 13 10 9 13 8 15 9 7 11 3
2003 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes
Action       Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 30 36 37 37 38 38 38 38 38 38 38
Closed Lower 14 20 20 17 15 23 17 17 13 15 13
Penetrated Low 11 13 12 13 13 15 13 9 9 9 10
Scenario Percentage 79% 65% 60% 76% 87% 65% 76% 53% 69% 60% 77%
Avg Max Decline 4.73% 4.08% 5.93% 4.73% 4.50% 5.69% 4.67% 4.13% 8.52% 10.17% 8.00%
Max Decline 8.00% 7.25% 13.25% 11.40% 13.21% 19.34% 11.53% 9.24% 16.95% 16.13% 30.87%
Avg Days To Max Decline 16 19 21 19 12 14 18 9 12 16 15
Avg Max Increase -0.65% -1.08% -1.41% -1.64% -1.21% -1.15% -2.20% -1.22% -1.10% -0.98% -2.67%
Max Increase -1.90% -2.37% -4.08% -4.18% -3.98% -3.31% -7.75% -3.11% -4.48% -2.31% -7.74%
Avg Days to Max Increase 8 8 9 10 4 6 9 7 2 6 9
2003 Contract Condition Yes Yes Yes                
Action Yes No No                
High 74.100 71.950 69.650 68.600 70.200 72.075 73.425 76.000 78.825 79.900 82.700
Low 70.850 65.350 66.150 66.700 67.950 69.200 70.775 71.100 75.550 77.100 78.850
Close/Last 71.000 68.500 66.950 68.000 69.500 71.550 72.150 75.950 78.475 79.625 82.600