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MRCI's ScenarioSM Study
ScenarioSM Study for August Live Cattle(CME) as of Apr 30, 2006
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 35 37 38 40 40 40 41 41 41 41 41
Closed Higher 16 17 24 26 25 19 23 23 19 17 23
Exceeded High 15 13 23 26 20 16 20 19 16 16 19
Scenario Percentage 94% 76% 96% 100% 80% 84% 87% 83% 84% 94% 83%
Avg Max Increase 2.82% 3.61% 4.37% 4.46% 4.70% 6.21% 8.28% 6.67% 6.41% 7.57% 4.04%
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 -1.72% -0.80% -1.21% -0.78% -1.16% -1.05% -1.19% -1.52% -1.95% -1.39% -0.99%
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 6 5 7 9 13 8 3
2006 Contract Condition Yes Yes Yes Yes         Yes    
Action Yes Yes Yes No              
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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 35 37 38 40 40 40 41 41 41 41 41
Closed Lower 17 19 14 13 15 21 17 17 21 24 17
Penetrated Low 13 12 11 7 11 13 16 14 14 19 12
Scenario Percentage 76% 63% 79% 54% 73% 62% 94% 82% 67% 79% 71%
Avg Max Decline 3.72% 4.46% 5.02% 5.46% 5.60% 6.47% 6.88% 6.59% 7.35% 6.00% 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 14 17 19 20 21 19 19 20 13 15
Avg Max Increase -0.90% -0.67% -1.10% -1.78% -1.54% -0.73% -1.52% -1.46% -1.61% -1.58% -3.11%
Max Increase -2.35% -2.07% -3.29% -3.40% -3.54% -2.22% -5.21% -3.01% -3.58% -4.35% -11.78%
Avg Days to Max Increase 3 3 7 12 6 8 11 11 6 7 8
2006 Contract Condition         Yes Yes Yes Yes      
Action         Yes Yes Yes Not Yet      
High 83.875 85.200 86.000 86.750 86.550 84.300 82.750 78.300 76.975    
Low 80.300 83.250 84.200 85.500 83.750 81.800 76.200 74.500 75.300    
Close/Last 83.850 84.875 85.950 86.350 84.375 82.375 76.300 75.550 76.950