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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
31 |
33 |
34 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
14 |
15 |
21 |
25 |
22 |
18 |
20 |
20 |
17 |
15 |
20 |
| Exceeded High |
13 |
12 |
20 |
25 |
17 |
15 |
17 |
16 |
14 |
14 |
17 |
| Scenario Percentage |
93% |
80% |
95% |
100% |
77% |
83% |
85% |
80% |
82% |
93% |
85% |
| Avg Max Increase |
2.87% |
3.58% |
4.77% |
4.59% |
4.99% |
5.79% |
8.12% |
6.81% |
6.06% |
6.79% |
3.89% |
| Max Increase |
5.28% |
8.67% |
19.17% |
12.63% |
16.50% |
15.89% |
22.50% |
20.21% |
16.21% |
25.20% |
9.32% |
| Avg Days To Max Increase |
16 |
16 |
18 |
14 |
16 |
19 |
22 |
15 |
18 |
11 |
13 |
| Avg Max Decline |
-1.80% |
-0.82% |
-1.25% |
-0.77% |
-1.04% |
-1.03% |
-1.16% |
-1.64% |
-1.86% |
-1.50% |
-0.71% |
| Max Decline |
-6.31% |
-3.36% |
-3.71% |
-4.32% |
-3.95% |
-3.09% |
-4.08% |
-5.48% |
-5.01% |
-5.02% |
-2.88% |
| Avg Days to Max Decline |
12 |
9 |
8 |
7 |
6 |
5 |
7 |
8 |
13 |
9 |
2 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
31 |
33 |
34 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
16 |
17 |
13 |
10 |
14 |
18 |
16 |
16 |
19 |
22 |
16 |
| Penetrated Low | 12 |
10 |
11 |
5 |
10 |
12 |
15 |
14 |
13 |
17 |
11 |
| Scenario Percentage |
75% |
59% |
85% |
50% |
71% |
67% |
94% |
88% |
68% |
77% |
69% |
| Avg Max Decline |
3.34% |
4.26% |
5.02% |
6.05% |
5.60% |
5.84% |
6.75% |
6.59% |
7.31% |
6.37% |
9.19% |
| Max Decline |
10.78% |
16.33% |
17.02% |
14.82% |
12.84% |
12.52% |
23.21% |
26.75% |
19.32% |
16.00% |
36.92% |
| Avg Days To Max Decline |
15 |
14 |
17 |
19 |
20 |
21 |
19 |
19 |
21 |
14 |
16 |
| Avg Max Increase |
-0.78% |
-0.73% |
-1.10% |
-1.61% |
-1.70% |
-0.71% |
-1.51% |
-1.46% |
-1.75% |
-1.47% |
-3.15% |
| Max Increase |
-1.40% |
-2.07% |
-3.29% |
-2.22% |
-3.54% |
-2.22% |
-5.21% |
-3.01% |
-3.58% |
-4.35% |
-11.78% |
| Avg Days to Max Increase |
3 |
4 |
7 |
14 |
6 |
8 |
11 |
11 |
7 |
7 |
7 |
| 2001 Contract Condition |
|
|
|
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
|
|
No |
|
Yes |
Yes |
|
Yes |
Yes |
| High |
70.900 |
71.800 |
73.175 |
74.800 |
75.000 |
73.000 |
73.400 |
72.900 |
74.700 |
75.575 |
74.925 |
| Low |
69.975 |
70.325 |
71.300 |
72.550 |
70.500 |
71.500 |
70.725 |
71.200 |
70.050 |
72.975 |
71.800 |
| Close/Last |
70.400 |
71.625 |
72.600 |
74.725 |
71.325 |
72.975 |
71.950 |
71.775 |
74.475 |
74.000 |
71.875 |
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