|
 |
| 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 |
|
|
|
|
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 |
|
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