|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
39 |
42 |
42 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Higher |
27 |
29 |
30 |
23 |
21 |
26 |
20 |
20 |
26 |
21 |
25 |
| Exceeded High |
25 |
25 |
26 |
18 |
18 |
19 |
18 |
19 |
24 |
17 |
18 |
| Scenario Percentage |
93% |
86% |
87% |
78% |
86% |
73% |
90% |
95% |
92% |
81% |
72% |
| Avg Max Increase |
3.47% |
4.93% |
4.25% |
4.96% |
5.68% |
5.99% |
5.66% |
7.43% |
4.85% |
6.81% |
4.48% |
| Max Increase |
9.11% |
14.10% |
14.44% |
14.08% |
20.35% |
13.11% |
21.44% |
27.14% |
13.64% |
25.05% |
18.26% |
| Avg Days To Max Increase |
19 |
17 |
16 |
19 |
18 |
14 |
15 |
14 |
15 |
13 |
17 |
| Avg Max Decline |
-1.01% |
-0.52% |
-1.20% |
-1.14% |
-1.37% |
-1.21% |
-1.82% |
-1.78% |
-1.85% |
-1.49% |
-0.67% |
| Max Decline |
-3.69% |
-1.68% |
-4.11% |
-5.63% |
-5.37% |
-7.13% |
-4.03% |
-10.28% |
-8.40% |
-6.73% |
-3.21% |
| Avg Days to Max Decline |
11 |
9 |
6 |
7 |
6 |
7 |
10 |
8 |
5 |
9 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
| Action |
Yes |
Yes |
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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
39 |
42 |
42 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Lower |
12 |
13 |
12 |
20 |
22 |
18 |
24 |
24 |
18 |
23 |
19 |
| Penetrated Low |
8 |
4 |
9 |
13 |
16 |
13 |
18 |
17 |
15 |
17 |
17 |
| Scenario Percentage |
67% |
31% |
75% |
65% |
73% |
72% |
75% |
71% |
83% |
74% |
89% |
| Avg Max Decline |
3.72% |
7.33% |
6.54% |
6.83% |
6.25% |
6.05% |
5.36% |
5.88% |
5.19% |
7.02% |
8.89% |
| Max Decline |
12.82% |
13.48% |
12.91% |
14.73% |
25.65% |
22.84% |
14.26% |
15.45% |
13.56% |
23.20% |
25.03% |
| Avg Days To Max Decline |
17 |
16 |
21 |
18 |
16 |
19 |
22 |
19 |
15 |
11 |
16 |
| Avg Max Increase |
-1.01% |
-1.62% |
-1.47% |
-0.51% |
-1.19% |
-1.28% |
-1.76% |
-2.25% |
-2.23% |
-1.52% |
-2.15% |
| Max Increase |
-3.67% |
-2.70% |
-3.39% |
-1.96% |
-3.76% |
-2.33% |
-5.22% |
-6.56% |
-6.02% |
-4.87% |
-6.42% |
| Avg Days to Max Increase |
6 |
13 |
6 |
7 |
8 |
8 |
9 |
12 |
11 |
5 |
6 |
| 2008 Contract Condition |
|
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
| Action |
|
|
|
|
No |
|
|
|
Yes |
Yes |
Yes |
| High |
98.900 |
100.000 |
101.750 |
103.750 |
103.950 |
104.500 |
108.550 |
113.200 |
112.050 |
109.100 |
104.550 |
| Low |
97.100 |
97.700 |
98.725 |
100.150 |
97.550 |
98.700 |
103.000 |
105.900 |
103.800 |
103.530 |
97.950 |
| Close/Last |
97.835 |
99.980 |
100.875 |
103.500 |
99.050 |
104.300 |
108.150 |
111.000 |
106.300 |
104.050 |
98.900 |
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