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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
30 |
34 |
35 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
17 |
11 |
15 |
19 |
24 |
24 |
25 |
22 |
22 |
21 |
18 |
| Exceeded High |
10 |
9 |
14 |
15 |
20 |
22 |
18 |
19 |
18 |
15 |
10 |
| Scenario Percentage |
59% |
82% |
93% |
79% |
83% |
92% |
72% |
86% |
82% |
71% |
56% |
| Avg Max Increase |
4.86% |
2.56% |
3.35% |
4.58% |
5.50% |
5.19% |
6.44% |
6.56% |
9.83% |
7.80% |
4.40% |
| Max Increase |
11.99% |
7.56% |
5.82% |
13.06% |
16.47% |
11.90% |
17.54% |
18.85% |
23.53% |
21.24% |
9.92% |
| Avg Days To Max Increase |
14 |
10 |
19 |
20 |
20 |
17 |
18 |
18 |
21 |
13 |
13 |
| Avg Max Decline |
-1.31% |
-1.42% |
-1.73% |
-1.18% |
-1.49% |
-0.96% |
-1.23% |
-1.37% |
-1.11% |
-1.29% |
-0.90% |
| Max Decline |
-7.20% |
-3.06% |
-6.27% |
-3.45% |
-6.05% |
-3.21% |
-4.47% |
-4.17% |
-4.02% |
-6.83% |
-2.99% |
| Avg Days to Max Decline |
6 |
12 |
12 |
12 |
10 |
9 |
6 |
6 |
6 |
5 |
2 |
| 2001 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
| Action |
|
|
|
Yes |
Yes |
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
30 |
34 |
35 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
13 |
23 |
20 |
16 |
12 |
13 |
12 |
14 |
15 |
16 |
19 |
| Penetrated Low | 11 |
15 |
15 |
10 |
10 |
7 |
8 |
8 |
15 |
14 |
11 |
| Scenario Percentage |
85% |
65% |
75% |
63% |
83% |
54% |
67% |
57% |
100% |
88% |
58% |
| Avg Max Decline |
5.01% |
4.57% |
3.80% |
4.86% |
6.11% |
5.83% |
4.96% |
7.70% |
7.79% |
6.01% |
10.65% |
| Max Decline |
11.00% |
18.17% |
9.99% |
16.03% |
17.00% |
14.34% |
11.94% |
11.85% |
17.07% |
22.77% |
42.48% |
| Avg Days To Max Decline |
13 |
16 |
15 |
13 |
14 |
19 |
18 |
23 |
18 |
12 |
15 |
| Avg Max Increase |
-1.10% |
-0.83% |
-0.90% |
-1.56% |
-0.93% |
-1.98% |
-2.54% |
-0.67% |
-1.68% |
-1.27% |
-2.02% |
| Max Increase |
-4.24% |
-1.67% |
-2.22% |
-5.86% |
-3.17% |
-3.41% |
-4.60% |
-1.99% |
-5.92% |
-3.76% |
-7.18% |
| Avg Days to Max Increase |
5 |
7 |
5 |
10 |
3 |
11 |
7 |
7 |
6 |
7 |
8 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
Yes |
Yes |
|
| Action |
Yes |
Yes |
No |
|
|
|
No |
|
Yes |
Yes |
|
| High |
73.775 |
72.350 |
70.650 |
71.750 |
73.000 |
74.850 |
75.000 |
74.000 |
74.700 |
73.825 |
74.850 |
| Low |
71.850 |
70.325 |
69.725 |
70.075 |
71.200 |
72.225 |
70.525 |
71.700 |
71.575 |
71.025 |
69.825 |
| Close/Last |
72.000 |
70.425 |
70.375 |
71.625 |
72.275 |
74.825 |
71.575 |
73.950 |
72.675 |
71.650 |
74.625 |
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