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MRCI's ScenarioSM Study
ScenarioSM Study for June Live Cattle(CME) as of May 29, 2003
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 31 35 36 37 37 38 38 38 38 38 38
Closed Higher 18 12 15 19 25 25 26 22 22 21 18
Exceeded High 10 9 14 15 21 23 19 19 18 15 10
Scenario Percentage 56% 75% 93% 79% 84% 92% 73% 86% 82% 71% 56%
Avg Max Increase 4.86% 2.56% 3.35% 4.58% 5.38% 5.03% 6.14% 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 16 18 18 21 13 13
Avg Max Decline -1.31% -1.42% -1.73% -1.18% -1.56% -0.97% -1.19% -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
2003 Contract Condition Yes Yes Yes Yes Yes Yes       Yes Yes
Action Yes Yes Yes Yes Yes Yes       Yes  
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 31 35 36 37 37 38 38 38 38 38 38
Closed Lower 13 23 21 17 12 13 12 15 16 17 20
Penetrated Low 11 15 16 11 10 7 8 9 16 14 11
Scenario Percentage 85% 65% 76% 65% 83% 54% 67% 60% 100% 82% 55%
Avg Max Decline 5.01% 4.57% 4.00% 5.02% 6.11% 5.83% 4.96% 8.49% 7.92% 6.01% 10.66%
Max Decline 11.00% 18.17% 9.99% 16.03% 17.00% 14.34% 11.94% 14.79% 17.07% 22.77% 42.48%
Avg Days To Max Decline 13 16 15 13 14 19 18 23 18 12 16
Avg Max Increase -1.10% -0.83% -1.05% -1.48% -0.93% -1.98% -2.54% -0.77% -1.70% -1.27% -2.02%
Max Increase -4.24% -1.67% -3.34% -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
2003 Contract Condition             Yes Yes Yes    
Action             Yes Yes Not Yet    
High 66.550 68.100 69.200 69.950 72.275 72.850 73.000 72.300 70.750 72.300 75.800
Low 65.150 65.850 67.000 67.075 69.250 70.750 69.600 68.400 67.900 70.200 71.000
Close/Last 66.025 67.750 68.025 69.875 72.050 72.525 72.175 70.400 70.375 71.925 75.550