|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Live Cattle(CME) as of Jul 14, 2005 |
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 |
35 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
| Closed Higher |
16 |
21 |
22 |
14 |
19 |
22 |
24 |
23 |
29 |
24 |
24 |
| Exceeded High |
14 |
20 |
15 |
11 |
19 |
14 |
21 |
22 |
23 |
21 |
19 |
| Scenario Percentage |
88% |
95% |
68% |
79% |
100% |
64% |
88% |
96% |
79% |
88% |
79% |
| Avg Max Increase |
5.08% |
5.86% |
3.90% |
3.80% |
3.51% |
4.31% |
6.20% |
6.87% |
8.33% |
7.58% |
5.34% |
| Max Increase |
22.82% |
28.72% |
11.79% |
10.35% |
8.50% |
9.13% |
15.90% |
15.44% |
23.63% |
23.61% |
17.27% |
| Avg Days To Max Increase |
18 |
18 |
14 |
15 |
21 |
18 |
17 |
21 |
18 |
14 |
14 |
| Avg Max Decline |
-0.99% |
-0.87% |
-1.57% |
-1.59% |
-2.01% |
-1.27% |
-1.97% |
-1.27% |
-1.50% |
-1.31% |
-0.97% |
| 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 |
9 |
8 |
8 |
17 |
14 |
10 |
9 |
12 |
7 |
8 |
2 |
| 2002 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
|
Yes |
Yes |
|
|
| Action |
Yes |
|
No |
|
|
No |
|
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 |
35 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
| Closed Lower |
19 |
16 |
16 |
24 |
18 |
16 |
13 |
14 |
9 |
14 |
14 |
| Penetrated Low |
12 |
11 |
13 |
17 |
14 |
8 |
9 |
8 |
7 |
8 |
11 |
| Scenario Percentage |
63% |
69% |
81% |
71% |
78% |
50% |
69% |
57% |
78% |
57% |
79% |
| Avg Max Decline |
5.45% |
5.13% |
4.23% |
4.84% |
4.41% |
3.96% |
6.20% |
8.44% |
6.40% |
8.47% |
9.76% |
| Max Decline |
12.45% |
12.27% |
12.81% |
17.84% |
12.96% |
7.65% |
15.83% |
14.02% |
11.26% |
16.04% |
21.77% |
| Avg Days To Max Decline |
19 |
19 |
11 |
12 |
19 |
14 |
11 |
21 |
16 |
11 |
16 |
| Avg Max Increase |
-1.23% |
-1.16% |
-1.25% |
-0.91% |
-1.68% |
-1.39% |
-1.29% |
-1.91% |
-2.94% |
-1.17% |
-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 |
11 |
8 |
4 |
13 |
10 |
9 |
7 |
| 2002 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
Yes |
|
|
Yes |
Yes |
| Action |
|
No |
|
Yes |
Yes |
|
No |
|
|
Yes |
Yes |
| High |
78.000 |
78.000 |
78.725 |
78.250 |
77.975 |
75.450 |
73.700 |
74.000 |
75.950 |
76.525 |
76.075 |
| Low |
75.000 |
76.500 |
76.750 |
77.100 |
71.900 |
71.750 |
67.250 |
70.025 |
72.900 |
73.625 |
69.550 |
| Close/Last |
77.850 |
76.925 |
77.950 |
77.850 |
72.050 |
73.350 |
72.300 |
73.675 |
75.525 |
74.200 |
70.425 |
|
|