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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Live Cattle(CME) as of Jul 31, 2006 |
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 |
31 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Higher |
22 |
20 |
21 |
22 |
20 |
19 |
24 |
20 |
25 |
24 |
26 |
| Exceeded High |
18 |
15 |
19 |
18 |
17 |
18 |
18 |
17 |
22 |
18 |
18 |
| Scenario Percentage |
82% |
75% |
90% |
82% |
85% |
95% |
75% |
85% |
88% |
75% |
69% |
| Avg Max Increase |
3.57% |
4.31% |
4.79% |
5.15% |
5.00% |
7.03% |
4.80% |
6.00% |
5.40% |
6.09% |
3.32% |
| 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 |
16 |
19 |
15 |
15 |
19 |
17 |
17 |
18 |
20 |
15 |
14 |
| Avg Max Decline |
-1.30% |
-0.91% |
-0.93% |
-1.21% |
-1.70% |
-1.22% |
-1.78% |
-1.65% |
-1.50% |
-0.96% |
-1.02% |
| 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 |
7 |
9 |
5 |
9 |
12 |
5 |
7 |
9 |
9 |
5 |
3 |
| 2005 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
Yes |
|
Yes |
Yes |
No |
|
Yes |
Yes |
Yes |
Yes |
Yes |
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 |
31 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Lower |
8 |
20 |
20 |
19 |
20 |
22 |
17 |
21 |
16 |
17 |
15 |
| Penetrated Low |
6 |
9 |
13 |
14 |
12 |
17 |
13 |
13 |
14 |
12 |
11 |
| Scenario Percentage |
75% |
45% |
65% |
74% |
60% |
77% |
76% |
62% |
88% |
71% |
73% |
| Avg Max Decline |
6.19% |
6.67% |
6.87% |
5.33% |
6.52% |
5.31% |
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% |
-2.14% |
-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 |
12 |
7 |
5 |
10 |
8 |
10 |
| 2005 Contract Condition |
|
Yes |
|
|
|
Yes |
|
|
|
|
|
| Action |
|
No |
|
|
|
Yes |
|
|
|
|
|
| High |
84.050 |
83.400 |
86.550 |
87.300 |
88.750 |
88.100 |
85.800 |
86.375 |
90.700 |
92.450 |
93.500 |
| Low |
81.100 |
81.900 |
82.100 |
84.900 |
86.550 |
83.500 |
82.900 |
82.500 |
84.000 |
88.800 |
89.850 |
| Close/Last |
82.900 |
82.350 |
86.200 |
86.725 |
88.275 |
84.550 |
85.475 |
85.500 |
90.000 |
90.925 |
93.450 |
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