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MRCI's ScenarioSM Study
ScenarioSM Study for December Live Cattle(CME) as of Sep 30, 2007
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 32 41 42 42 42 42 42 42 42 42 42
Closed Higher 22 20 21 22 21 20 24 21 25 24 26
Exceeded High 18 15 19 18 18 19 18 18 22 18 18
Scenario Percentage 82% 75% 90% 82% 86% 95% 75% 86% 88% 75% 69%
Avg Max Increase 3.57% 4.31% 4.79% 5.15% 5.07% 6.84% 4.80% 5.74% 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 18 18 17 18 20 15 14
Avg Max Decline -1.30% -0.91% -0.93% -1.21% -1.72% -1.37% -1.78% -1.57% -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 6 7 9 9 5 3
2007 Contract Condition   Yes Yes     Yes Yes        
Action   Yes No     Yes Yes        
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Some data provided by Prophetfinance.com
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 32 41 42 42 42 42 42 42 42 42 42
Closed Lower 9 21 21 20 20 22 18 21 17 18 16
Penetrated Low 7 10 14 14 12 17 13 13 15 13 12
Scenario Percentage 78% 48% 67% 70% 60% 77% 72% 62% 88% 72% 75%
Avg Max Decline 6.26% 6.77% 6.54% 5.33% 6.52% 5.31% 5.08% 6.70% 5.04% 6.20% 10.29%
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 23 20 16 19 21 18 16 11 12 10 22
Avg Max Increase -1.07% -0.61% -0.80% -1.14% -1.87% -2.14% -1.57% -1.09% -2.11% -1.43% -3.96%
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 6 10 7 9 9 12 7 5 10 7 12
2007 Contract Condition Yes     Yes Yes     Yes Yes Yes  
Action No     Yes Yes     Not Yet Not Yet    
High 91.700 96.200 98.800 98.000 96.980 96.250 101.000 101.100 101.450 99.980  
Low 90.200 90.900 94.900 94.650 94.650 94.000 95.250 96.500 98.150 98.500  
Close/Last 91.300 95.875 96.575 96.350 95.950 96.180 100.980 100.030 99.800 98.600