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MRCI's ScenarioSM Study
ScenarioSM Study for June Live Cattle(CME) as of Jul 29, 2004
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 33 37 38 39 39 40 40 40 40 40 40
Closed Higher 20 14 17 21 27 26 27 23 23 23 20
Exceeded High 12 11 16 16 22 24 20 20 19 17 12
Scenario Percentage 60% 79% 94% 76% 81% 92% 74% 87% 83% 74% 60%
Avg Max Increase 4.94% 3.17% 3.82% 4.56% 5.19% 4.85% 6.36% 6.86% 10.12% 8.19% 4.29%
Max Increase 11.99% 8.55% 7.95% 13.06% 16.47% 11.90% 17.54% 18.85% 23.53% 21.24% 9.92%
Avg Days To Max Increase 13 11 19 19 19 16 18 19 21 12 12
Avg Max Decline -1.23% -1.42% -1.61% -1.16% -1.57% -0.93% -1.29% -1.40% -1.16% -1.22% -0.88%
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 5 12 11 11 10 9 6 6 6 6 2
2004 Contract Condition Yes Yes Yes Yes Yes   Yes Yes Yes Yes Yes
Action Yes Yes Yes No No   Yes Yes Yes Yes Yes
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
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 33 37 38 39 39 40 40 40 40 40 40
Closed Lower 13 23 21 17 12 14 13 16 17 17 20
Penetrated Low 11 15 16 11 10 7 9 10 16 14 11
Scenario Percentage 85% 65% 76% 65% 83% 50% 69% 63% 94% 82% 55%
Avg Max Decline 5.01% 4.57% 4.00% 5.02% 6.11% 5.83% 5.07% 7.99% 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 22 18 12 16
Avg Max Increase -1.10% -0.83% -1.05% -1.48% -0.93% -1.98% -2.28% -0.75% -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 6 6 7 8
2004 Contract Condition           Yes          
Action           No          
High 72.100 73.000 74.550 78.750 77.550 77.250 72.600 73.150 78.000 82.150 88.000
Low 69.000 69.500 71.300 72.850 73.725 66.500 69.000 68.425 71.500 74.750 80.400
Close/Last 70.475 72.550 72.950 75.425 76.800 68.825 70.600 72.925 76.225 80.400 87.675