|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for April 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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
38 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Higher |
19 |
23 |
25 |
17 |
21 |
24 |
27 |
26 |
29 |
26 |
25 |
| Exceeded High |
16 |
22 |
18 |
14 |
20 |
16 |
24 |
25 |
23 |
22 |
19 |
| Scenario Percentage |
84% |
96% |
72% |
82% |
95% |
67% |
89% |
96% |
79% |
85% |
76% |
| Avg Max Increase |
4.87% |
5.59% |
3.80% |
3.62% |
3.57% |
4.33% |
5.85% |
6.29% |
8.33% |
7.51% |
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 |
19 |
15 |
16 |
21 |
19 |
16 |
20 |
18 |
14 |
14 |
| Avg Max Decline |
-1.07% |
-0.89% |
-1.59% |
-1.44% |
-1.94% |
-1.28% |
-1.79% |
-1.29% |
-1.50% |
-1.30% |
-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 |
9 |
8 |
14 |
14 |
11 |
9 |
12 |
7 |
7 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
| Action |
Yes |
Yes |
Yes |
Yes |
No |
|
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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
38 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Lower |
19 |
17 |
16 |
24 |
19 |
17 |
13 |
14 |
12 |
15 |
16 |
| Penetrated Low |
12 |
12 |
13 |
17 |
15 |
9 |
9 |
8 |
9 |
9 |
13 |
| Scenario Percentage |
63% |
71% |
81% |
71% |
79% |
53% |
69% |
57% |
75% |
60% |
81% |
| Avg Max Decline |
5.45% |
4.84% |
4.23% |
4.84% |
4.26% |
3.58% |
6.20% |
8.44% |
7.42% |
8.76% |
8.97% |
| Max Decline |
12.45% |
12.27% |
12.81% |
17.84% |
12.96% |
7.65% |
15.83% |
14.02% |
13.57% |
16.04% |
21.77% |
| Avg Days To Max Decline |
19 |
19 |
11 |
12 |
18 |
15 |
11 |
21 |
19 |
10 |
16 |
| Avg Max Increase |
-1.23% |
-1.13% |
-1.25% |
-0.91% |
-1.62% |
-1.48% |
-1.29% |
-1.91% |
-2.54% |
-1.09% |
-3.20% |
| 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 |
10 |
10 |
4 |
13 |
9 |
8 |
8 |
| 2008 Contract Condition |
|
|
|
|
|
Yes |
|
|
Yes |
|
Yes |
| Action |
|
|
|
|
|
Yes |
|
|
Yes |
|
Yes |
| High |
97.200 |
98.500 |
100.400 |
100.900 |
101.530 |
101.200 |
99.180 |
99.135 |
99.450 |
96.400 |
94.100 |
| Low |
94.400 |
96.050 |
97.350 |
97.430 |
99.600 |
97.000 |
96.550 |
96.550 |
92.300 |
93.300 |
86.400 |
| Close/Last |
97.100 |
98.350 |
100.350 |
100.450 |
101.250 |
97.050 |
97.100 |
98.500 |
94.275 |
94.325 |
87.425 |
|
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