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MRCI's ScenarioSM Study
ScenarioSM Study for August Live Cattle(CME) as of Aug 31, 2004
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 34 36 37 39 39 39 40 40 40 40 40
Closed Higher 15 17 24 26 24 19 22 22 19 17 22
Exceeded High 14 13 23 26 19 16 19 18 16 16 18
Scenario Percentage 93% 76% 96% 100% 79% 84% 86% 82% 84% 94% 82%
Avg Max Increase 2.92% 3.61% 4.37% 4.46% 4.70% 6.21% 8.52% 6.99% 6.41% 7.57% 4.11%
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 17 15 17 14 16 20 22 14 18 12 14
Avg Max Decline -1.80% -0.80% -1.21% -0.78% -1.08% -1.05% -1.18% -1.55% -1.95% -1.39% -0.86%
Max Decline -6.31% -3.36% -3.71% -4.32% -3.95% -3.09% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline 11 8 8 7 5 5 7 9 13 8 2
2004 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes    
Action   No Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 34 36 37 39 39 39 40 40 40 40 40
Closed Lower 17 18 13 12 15 20 17 17 20 23 17
Penetrated Low 13 11 11 6 11 13 16 14 13 18 12
Scenario Percentage 76% 61% 85% 50% 73% 65% 94% 82% 65% 78% 71%
Avg Max Decline 3.72% 4.40% 5.02% 6.19% 5.60% 6.47% 6.88% 6.59% 7.31% 6.25% 10.30%
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 18 20 21 19 19 21 14 15
Avg Max Increase -0.90% -0.73% -1.10% -1.50% -1.54% -0.73% -1.52% -1.46% -1.75% -1.55% -3.11%
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 12 6 8 11 11 7 7 8
2004 Contract Condition       Yes           Yes Yes
Action       No           Yes Yes
High 73.550 77.200 75.475 75.550 74.250 73.900 75.400 83.000 89.550 92.700 88.700
Low 70.100 72.000 72.300 68.000 69.100 70.950 72.650 73.900 82.650 84.775 82.250
Close/Last 72.100 74.525 75.075 68.800 72.800 73.725 75.100 82.850 88.625 85.750 85.725