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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Live Cattle(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
30 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
| Closed Higher |
21 |
20 |
20 |
21 |
19 |
19 |
23 |
19 |
24 |
23 |
25 |
| Exceeded High |
17 |
15 |
18 |
17 |
17 |
18 |
17 |
16 |
21 |
17 |
17 |
| Scenario Percentage |
81% |
75% |
90% |
81% |
89% |
95% |
74% |
84% |
88% |
74% |
68% |
| Avg Max Increase |
3.52% |
4.31% |
4.89% |
5.31% |
5.00% |
7.03% |
4.72% |
5.87% |
5.47% |
6.05% |
3.29% |
| Max Increase |
12.47% |
13.33% |
21.08% |
13.31% |
23.89% |
27.74% |
10.78% |
17.67% |
16.89% |
10.63% |
8.00% |
| Avg Days To Max Increase |
15 |
19 |
15 |
15 |
19 |
17 |
17 |
18 |
20 |
14 |
13 |
| Avg Max Decline |
-1.31% |
-0.91% |
-0.90% |
-1.27% |
-1.70% |
-1.22% |
-1.68% |
-1.64% |
-1.51% |
-0.94% |
-0.98% |
| Max Decline |
-3.93% |
-3.57% |
-5.65% |
-7.18% |
-4.12% |
-6.93% |
-9.56% |
-7.78% |
-5.36% |
-2.91% |
-6.01% |
| Avg Days to Max Decline |
6 |
9 |
5 |
9 |
12 |
5 |
6 |
10 |
8 |
5 |
3 |
| 2001 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
|
Yes |
|
| Action |
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
30 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
| Closed Lower |
8 |
19 |
20 |
19 |
20 |
21 |
17 |
21 |
16 |
17 |
15 |
| Penetrated Low |
6 |
9 |
13 |
14 |
12 |
16 |
13 |
13 |
14 |
12 |
11 |
| Scenario Percentage |
75% |
47% |
65% |
74% |
60% |
76% |
76% |
62% |
88% |
71% |
73% |
| Avg Max Decline |
6.19% |
6.67% |
6.87% |
5.33% |
6.52% |
5.49% |
5.08% |
6.70% |
4.97% |
6.39% |
10.68% |
| Max Decline |
11.87% |
14.48% |
27.03% |
22.79% |
13.42% |
14.82% |
13.62% |
23.20% |
10.41% |
15.03% |
24.65% |
| Avg Days To Max Decline |
22 |
21 |
17 |
19 |
21 |
18 |
16 |
11 |
12 |
10 |
21 |
| Avg Max Increase |
-1.18% |
-0.64% |
-0.81% |
-1.14% |
-1.87% |
-2.16% |
-1.57% |
-1.09% |
-2.16% |
-1.50% |
-3.75% |
| Max Increase |
-3.55% |
-1.39% |
-2.08% |
-3.46% |
-5.68% |
-5.92% |
-4.54% |
-3.45% |
-5.33% |
-7.24% |
-12.01% |
| Avg Days to Max Increase |
5 |
11 |
8 |
9 |
9 |
11 |
7 |
5 |
10 |
8 |
10 |
| 2001 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
No |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
No |
| High |
77.200 |
76.225 |
76.725 |
75.450 |
76.425 |
76.750 |
76.150 |
75.700 |
74.900 |
70.775 |
68.425 |
| Low |
73.300 |
74.250 |
73.475 |
73.850 |
72.800 |
74.775 |
74.425 |
73.850 |
67.150 |
65.925 |
61.750 |
| Close/Last |
74.125 |
76.150 |
74.500 |
74.075 |
76.325 |
75.500 |
74.625 |
74.600 |
67.325 |
68.075 |
67.225 |
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