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MRCI's ScenarioSM Study
ScenarioSM Study for August Live Cattle(CME) as of Sep 30, 2002
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 32 34 35 37 37 37 38 38 38 38 38
Closed Higher 14 15 22 26 23 18 20 20 17 16 21
Exceeded High 13 12 21 26 18 15 17 16 14 15 17
Scenario Percentage 93% 80% 95% 100% 78% 83% 85% 80% 82% 94% 81%
Avg Max Increase 2.87% 3.58% 4.69% 4.46% 4.76% 5.79% 8.12% 6.81% 6.06% 6.64% 3.87%
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 19 14 16 19 22 15 18 11 13
Avg Max Decline -1.80% -0.82% -1.30% -0.78% -1.00% -1.03% -1.16% -1.64% -1.86% -1.41% -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 9 7 5 5 7 8 13 9 2
2002 Contract Condition     Yes Yes Yes         Yes Yes
Action     Yes Yes Yes         Yes No
Copyright © 2001 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 32 34 35 37 37 37 38 38 38 38 38
Closed Lower 17 18 13 10 14 19 17 17 20 22 16
Penetrated Low 13 11 11 5 10 13 16 14 13 17 11
Scenario Percentage 76% 61% 85% 50% 71% 68% 94% 82% 65% 77% 69%
Avg Max Decline 3.72% 4.40% 5.02% 6.05% 5.60% 6.47% 6.88% 6.59% 7.31% 6.37% 9.19%
Max Decline 10.78% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 36.92%
Avg Days To Max Decline 15 13 17 19 20 21 19 19 21 14 16
Avg Max Increase -0.90% -0.73% -1.10% -1.61% -1.70% -0.73% -1.52% -1.46% -1.75% -1.47% -3.15%
Max Increase -2.35% -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
2002 Contract Condition Yes Yes       Yes Yes Yes Yes    
Action Yes Yes       Yes Yes No No    
High 74.950 71.750 69.550 70.500 70.975 71.200 70.275 66.600 65.400 64.200 66.500
Low 69.800 67.800 64.250 67.325 69.450 69.375 65.000 59.750 60.300 60.500 63.400
Close/Last 70.100 68.250 68.925 70.275 70.625 69.550 65.500 63.775 60.950 63.550 65.000