|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
37 |
41 |
42 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Higher |
23 |
17 |
20 |
23 |
29 |
29 |
29 |
25 |
24 |
25 |
22 |
| Exceeded High |
15 |
14 |
18 |
18 |
24 |
27 |
22 |
21 |
19 |
18 |
14 |
| Scenario Percentage |
65% |
82% |
90% |
78% |
83% |
93% |
76% |
84% |
79% |
72% |
64% |
| Avg Max Increase |
4.51% |
3.18% |
3.68% |
4.45% |
4.95% |
4.67% |
6.56% |
6.75% |
10.12% |
8.18% |
4.63% |
| 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 |
14 |
12 |
20 |
19 |
19 |
16 |
17 |
18 |
21 |
13 |
14 |
| Avg Max Decline |
-1.28% |
-1.33% |
-1.48% |
-1.15% |
-1.50% |
-1.01% |
-1.30% |
-1.39% |
-1.16% |
-1.29% |
-1.21% |
| Max Decline |
-7.20% |
-3.06% |
-6.27% |
-3.45% |
-6.05% |
-3.21% |
-4.47% |
-4.17% |
-4.02% |
-6.83% |
-3.66% |
| Avg Days to Max Decline |
6 |
10 |
11 |
11 |
11 |
9 |
6 |
6 |
6 |
6 |
3 |
| 2008 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
Yes |
|
No |
|
|
Yes |
|
No |
|
Yes |
Yes |
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 |
37 |
41 |
42 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Lower |
14 |
23 |
22 |
19 |
14 |
15 |
15 |
18 |
20 |
19 |
22 |
| Penetrated Low |
12 |
15 |
17 |
13 |
11 |
7 |
11 |
11 |
18 |
15 |
13 |
| Scenario Percentage |
86% |
65% |
77% |
68% |
79% |
47% |
73% |
61% |
90% |
79% |
59% |
| Avg Max Decline |
4.70% |
4.57% |
3.86% |
4.67% |
5.66% |
5.83% |
5.99% |
8.35% |
7.43% |
6.25% |
11.45% |
| Max Decline |
11.00% |
18.17% |
9.99% |
16.03% |
17.00% |
14.34% |
12.92% |
14.79% |
17.07% |
22.77% |
42.48% |
| Avg Days To Max Decline |
13 |
16 |
15 |
12 |
15 |
19 |
20 |
21 |
18 |
13 |
15 |
| Avg Max Increase |
-1.08% |
-0.83% |
-1.05% |
-1.27% |
-1.09% |
-1.98% |
-2.15% |
-0.71% |
-1.70% |
-1.21% |
-1.79% |
| 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 |
8 |
6 |
11 |
8 |
6 |
5 |
7 |
7 |
| 2008 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
|
Yes |
|
No |
|
|
| High |
96.000 |
96.000 |
97.250 |
96.750 |
94.700 |
95.200 |
95.600 |
96.350 |
95.450 |
93.900 |
97.050 |
| Low |
94.000 |
93.250 |
95.400 |
93.300 |
92.600 |
92.900 |
92.000 |
93.000 |
86.650 |
87.150 |
91.030 |
| Close/Last |
96.000 |
96.000 |
97.030 |
93.500 |
93.030 |
95.030 |
93.525 |
95.325 |
87.750 |
93.480 |
96.530 |
|
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