|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for February Live Cattle(CME) as of Jan 07, 2009 |
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 |
35 |
41 |
42 |
42 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Higher |
17 |
20 |
22 |
24 |
27 |
18 |
25 |
23 |
27 |
26 |
27 |
| Exceeded High |
15 |
15 |
19 |
23 |
20 |
15 |
23 |
14 |
24 |
24 |
21 |
| Scenario Percentage |
88% |
75% |
86% |
96% |
74% |
83% |
92% |
61% |
89% |
92% |
78% |
| Avg Max Increase |
5.36% |
5.01% |
5.08% |
6.14% |
3.98% |
4.52% |
4.63% |
5.58% |
6.05% |
7.87% |
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 |
20 |
19 |
17 |
15 |
21 |
16 |
17 |
16 |
16 |
| Avg Max Decline |
-0.85% |
-0.97% |
-1.47% |
-1.30% |
-2.09% |
-1.19% |
-1.80% |
-1.25% |
-1.68% |
-1.33% |
-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 |
12 |
9 |
12 |
7 |
14 |
9 |
6 |
12 |
3 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
| Action |
|
No |
Yes |
Yes |
Yes |
|
No |
|
|
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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
35 |
41 |
42 |
42 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Lower |
17 |
21 |
20 |
18 |
16 |
25 |
18 |
19 |
15 |
17 |
16 |
| Penetrated Low |
13 |
13 |
12 |
14 |
13 |
16 |
14 |
11 |
10 |
9 |
13 |
| Scenario Percentage |
76% |
62% |
60% |
78% |
81% |
64% |
78% |
58% |
67% |
53% |
81% |
| Avg Max Decline |
4.34% |
4.08% |
5.93% |
4.51% |
4.50% |
5.49% |
4.57% |
3.86% |
8.37% |
10.17% |
8.43% |
| 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 |
17 |
10 |
13 |
16 |
15 |
| Avg Max Increase |
-0.69% |
-1.08% |
-1.41% |
-1.63% |
-1.21% |
-1.26% |
-2.21% |
-1.15% |
-1.21% |
-0.98% |
-2.70% |
| 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 |
7 |
8 |
9 |
12 |
4 |
9 |
10 |
8 |
3 |
6 |
11 |
| 2008 Contract Condition |
Yes |
|
|
|
|
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
|
|
|
|
No |
|
Yes |
Yes |
|
Not Yet |
| High |
99.975 |
98.000 |
97.700 |
97.400 |
100.650 |
100.980 |
102.100 |
101.400 |
98.975 |
97.900 |
97.050 |
| Low |
95.400 |
94.800 |
95.200 |
95.400 |
96.500 |
97.000 |
99.800 |
97.100 |
95.650 |
94.530 |
89.075 |
| Close/Last |
96.350 |
96.500 |
97.030 |
97.385 |
100.600 |
100.385 |
101.500 |
97.530 |
95.780 |
96.180 |
90.900 |
|
|
