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| MRCI's ScenarioSM Study |
| ScenarioSM Study for February Live Cattle(CME) as of Jul 31, 2006 |
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 |
33 |
39 |
40 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Higher |
17 |
19 |
20 |
22 |
26 |
17 |
24 |
22 |
27 |
24 |
27 |
| Exceeded High |
15 |
15 |
17 |
21 |
19 |
14 |
23 |
13 |
24 |
23 |
21 |
| Scenario Percentage |
88% |
79% |
85% |
95% |
73% |
82% |
96% |
59% |
89% |
96% |
78% |
| Avg Max Increase |
5.36% |
5.01% |
5.21% |
6.48% |
4.11% |
4.80% |
4.63% |
5.84% |
6.05% |
8.09% |
4.63% |
| Max Increase |
20.95% |
13.59% |
24.14% |
28.67% |
14.74% |
14.40% |
14.77% |
12.34% |
14.42% |
23.28% |
8.94% |
| Avg Days To Max Increase |
16 |
17 |
19 |
18 |
17 |
15 |
21 |
15 |
17 |
16 |
16 |
| Avg Max Decline |
-0.85% |
-0.97% |
-1.42% |
-1.26% |
-2.02% |
-1.24% |
-1.80% |
-1.09% |
-1.68% |
-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 |
5 |
12 |
13 |
9 |
12 |
7 |
14 |
9 |
6 |
11 |
3 |
| 2006 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
| Action |
Yes |
Yes |
No |
|
Yes |
Yes |
Yes |
Yes |
Yes |
No |
|
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 |
33 |
39 |
40 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Lower |
15 |
20 |
20 |
18 |
15 |
24 |
17 |
18 |
13 |
17 |
14 |
| Penetrated Low |
11 |
13 |
12 |
14 |
13 |
16 |
13 |
10 |
9 |
9 |
11 |
| Scenario Percentage |
73% |
65% |
60% |
78% |
87% |
67% |
76% |
56% |
69% |
53% |
79% |
| Avg Max Decline |
4.73% |
4.08% |
5.93% |
4.51% |
4.50% |
5.49% |
4.67% |
3.94% |
8.52% |
10.17% |
8.92% |
| 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 |
15 |
18 |
9 |
12 |
16 |
14 |
| Avg Max Increase |
-0.65% |
-1.08% |
-1.41% |
-1.63% |
-1.21% |
-1.26% |
-2.20% |
-1.12% |
-1.10% |
-0.98% |
-2.43% |
| 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 |
12 |
4 |
9 |
9 |
7 |
2 |
6 |
9 |
| 2006 Contract Condition |
|
|
|
Yes |
|
|
|
|
|
|
Yes |
| Action |
|
|
|
Yes |
|
|
|
|
|
|
Yes |
| High |
87.050 |
87.950 |
89.450 |
89.000 |
87.550 |
87.950 |
92.000 |
95.100 |
95.750 |
97.400 |
97.050 |
| Low |
83.250 |
85.550 |
87.025 |
85.500 |
85.000 |
84.950 |
86.100 |
91.300 |
92.575 |
94.450 |
92.925 |
| Close/Last |
86.750 |
87.325 |
89.150 |
86.400 |
87.150 |
87.600 |
91.775 |
94.350 |
95.725 |
96.375 |
93.550 |
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