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MRCI's ScenarioSM Study
ScenarioSM Study for April Live Cattle(CME) as of May 16, 2003
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 33 35 36 36 36 36 36 36 36 36 36
Closed Higher 14 20 20 13 17 21 22 23 27 23 22
Exceeded High 12 19 13 10 17 14 20 22 21 20 17
Scenario Percentage 86% 95% 65% 77% 100% 67% 91% 96% 78% 87% 77%
Avg Max Increase 5.29% 5.93% 4.04% 3.14% 3.32% 4.31% 6.25% 6.87% 8.26% 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 19 14 16 22 18 18 21 18 13 13
Avg Max Decline -0.89% -0.87% -1.50% -1.70% -2.22% -1.27% -1.94% -1.27% -1.34% -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 7 9 8 16 16 10 9 12 6 8 2
2003 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes    
Action   Yes Yes Yes   Yes Yes Yes No    
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 33 35 36 36 36 36 36 36 36 36 36
Closed Lower 19 15 16 23 18 15 13 12 9 13 14
Penetrated Low 12 11 13 16 14 7 9 8 7 8 11
Scenario Percentage 63% 73% 81% 70% 78% 47% 69% 67% 78% 62% 79%
Avg Max Decline 5.45% 5.13% 4.23% 4.98% 4.41% 4.00% 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 13 19 15 11 21 16 11 16
Avg Max Increase -1.23% -1.16% -1.25% -1.00% -1.68% -1.56% -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 9 4 13 10 9 7
2003 Contract Condition Yes                 Yes Yes
Action Yes                 Yes Yes
High 70.900 69.700 70.750 73.000 73.625 74.900 78.100 79.000 80.150 80.075 76.150
Low 67.950 67.800 68.850 69.825 71.550 71.500 74.300 76.600 77.100 75.000 72.400
Close/Last 68.500 69.000 70.100 72.425 72.425 74.850 77.975 78.900 79.975 75.825 75.800