|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
38 |
40 |
41 |
43 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
| Closed Higher |
18 |
19 |
26 |
29 |
25 |
21 |
23 |
25 |
21 |
19 |
24 |
| Exceeded High |
16 |
15 |
25 |
28 |
20 |
18 |
20 |
20 |
18 |
17 |
19 |
| Scenario Percentage |
89% |
79% |
96% |
97% |
80% |
86% |
87% |
80% |
86% |
89% |
79% |
| Avg Max Increase |
2.80% |
3.59% |
4.17% |
4.43% |
4.70% |
5.80% |
8.28% |
6.70% |
6.48% |
7.40% |
3.98% |
| 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 |
18 |
15 |
17 |
15 |
16 |
19 |
22 |
14 |
18 |
13 |
14 |
| Avg Max Decline |
-1.66% |
-0.80% |
-1.13% |
-0.85% |
-1.16% |
-1.37% |
-1.19% |
-1.55% |
-2.02% |
-1.56% |
-0.99% |
| Max Decline |
-6.31% |
-3.36% |
-3.71% |
-4.32% |
-3.95% |
-6.96% |
-4.08% |
-5.48% |
-5.01% |
-5.02% |
-3.43% |
| Avg Days to Max Decline |
11 |
8 |
8 |
7 |
6 |
6 |
7 |
8 |
12 |
9 |
3 |
| 2008 Contract Condition |
Yes |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
No |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
No |
|
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 |
38 |
40 |
41 |
43 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
| Closed Lower |
18 |
20 |
15 |
13 |
18 |
22 |
20 |
18 |
22 |
25 |
19 |
| Penetrated Low |
14 |
13 |
11 |
7 |
13 |
14 |
18 |
14 |
15 |
19 |
14 |
| Scenario Percentage |
78% |
65% |
73% |
54% |
72% |
64% |
90% |
78% |
68% |
76% |
74% |
| Avg Max Decline |
3.55% |
4.16% |
5.02% |
5.46% |
5.86% |
6.69% |
6.37% |
6.59% |
7.10% |
6.00% |
10.10% |
| 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 |
21 |
20 |
18 |
19 |
20 |
12 |
15 |
| Avg Max Increase |
-0.90% |
-0.64% |
-1.10% |
-1.78% |
-1.48% |
-0.71% |
-1.53% |
-1.46% |
-1.54% |
-1.58% |
-3.54% |
| 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 |
4 |
3 |
7 |
12 |
7 |
7 |
10 |
11 |
6 |
7 |
10 |
| 2008 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
Yes |
| Action |
|
Yes |
No |
|
Yes |
|
No |
|
|
|
Yes |
| High |
96.450 |
95.800 |
95.100 |
96.500 |
97.450 |
98.650 |
98.650 |
99.480 |
102.135 |
106.135 |
104.700 |
| Low |
94.250 |
93.750 |
93.400 |
93.750 |
94.500 |
96.000 |
91.600 |
92.650 |
97.030 |
98.900 |
96.835 |
| Close/Last |
95.930 |
94.000 |
93.780 |
96.400 |
96.300 |
98.575 |
92.950 |
98.980 |
101.850 |
103.430 |
98.400 |
|
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