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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Live Cattle(CME) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
31 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Higher |
13 |
19 |
18 |
12 |
17 |
19 |
21 |
21 |
25 |
23 |
22 |
| Exceeded High |
11 |
18 |
12 |
9 |
17 |
13 |
19 |
20 |
20 |
20 |
17 |
| Scenario Percentage |
85% |
95% |
67% |
75% |
100% |
68% |
90% |
95% |
80% |
87% |
77% |
| Avg Max Increase |
5.67% |
5.93% |
3.96% |
3.11% |
3.32% |
4.21% |
6.43% |
7.28% |
8.61% |
7.25% |
5.10% |
| Max Increase |
22.82% |
28.72% |
11.79% |
6.93% |
5.49% |
9.13% |
15.90% |
15.44% |
23.63% |
23.61% |
17.27% |
| Avg Days To Max Increase |
17 |
18 |
14 |
14 |
22 |
18 |
18 |
22 |
19 |
13 |
13 |
| Avg Max Decline |
-0.82% |
-0.90% |
-1.59% |
-1.75% |
-2.22% |
-1.31% |
-1.95% |
-1.32% |
-1.37% |
-1.30% |
-0.85% |
| Max Decline |
-3.66% |
-3.41% |
-7.69% |
-3.52% |
-8.67% |
-3.62% |
-6.20% |
-3.48% |
-4.87% |
-4.16% |
-2.90% |
| Avg Days to Max Decline |
6 |
9 |
8 |
14 |
16 |
11 |
9 |
13 |
7 |
8 |
2 |
| 2001 Contract Condition |
|
|
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
| Action |
|
|
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
31 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Lower |
18 |
14 |
16 |
22 |
17 |
15 |
12 |
12 |
9 |
11 |
12 |
| Penetrated Low | 11 |
11 |
13 |
15 |
13 |
7 |
9 |
8 |
7 |
6 |
10 |
| Scenario Percentage |
61% |
79% |
81% |
68% |
76% |
47% |
75% |
67% |
78% |
55% |
83% |
| Avg Max Decline |
5.86% |
5.13% |
4.23% |
4.79% |
4.23% |
4.00% |
6.20% |
8.44% |
6.40% |
7.87% |
9.58% |
| Max Decline |
12.45% |
12.27% |
12.81% |
17.84% |
12.96% |
7.65% |
15.83% |
14.02% |
11.26% |
14.30% |
21.77% |
| Avg Days To Max Decline |
20 |
19 |
11 |
13 |
20 |
15 |
11 |
21 |
16 |
9 |
15 |
| Avg Max Increase |
-1.19% |
-1.16% |
-1.25% |
-1.06% |
-1.44% |
-1.56% |
-1.29% |
-1.91% |
-2.94% |
-1.07% |
-3.11% |
| Max Increase |
-4.45% |
-3.64% |
-4.22% |
-4.40% |
-7.26% |
-3.38% |
-4.52% |
-4.32% |
-5.34% |
-3.48% |
-8.04% |
| Avg Days to Max Increase |
8 |
6 |
4 |
6 |
12 |
9 |
4 |
13 |
10 |
9 |
8 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
No |
|
Yes |
| High |
76.975 |
76.200 |
75.700 |
74.350 |
73.300 |
74.950 |
76.500 |
79.175 |
81.000 |
81.575 |
81.825 |
| Low |
75.100 |
74.475 |
73.900 |
72.525 |
72.175 |
72.850 |
74.250 |
75.200 |
76.375 |
77.000 |
76.775 |
| Close/Last |
75.375 |
74.850 |
74.050 |
72.725 |
73.275 |
74.925 |
75.400 |
79.125 |
76.825 |
81.375 |
78.350 |
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