|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
34 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Higher |
23 |
22 |
22 |
23 |
22 |
22 |
25 |
21 |
25 |
24 |
26 |
| Exceeded High |
19 |
17 |
19 |
19 |
19 |
20 |
19 |
18 |
22 |
18 |
18 |
| Scenario Percentage |
83% |
77% |
86% |
83% |
86% |
91% |
76% |
86% |
88% |
75% |
69% |
| Avg Max Increase |
3.53% |
4.01% |
4.79% |
5.43% |
5.12% |
6.75% |
4.57% |
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 |
15 |
18 |
15 |
16 |
18 |
17 |
17 |
18 |
20 |
15 |
14 |
| Avg Max Decline |
-1.29% |
-1.08% |
-0.93% |
-1.19% |
-1.69% |
-1.35% |
-1.92% |
-1.57% |
-1.50% |
-0.96% |
-1.02% |
| Max Decline |
-3.93% |
-4.07% |
-5.65% |
-7.18% |
-4.12% |
-6.93% |
-9.56% |
-7.78% |
-5.36% |
-2.91% |
-6.01% |
| Avg Days to Max Decline |
7 |
10 |
5 |
9 |
11 |
6 |
7 |
9 |
9 |
5 |
3 |
| 2008 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
|
| Action |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
34 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Lower |
10 |
21 |
22 |
21 |
21 |
22 |
19 |
23 |
19 |
20 |
18 |
| Penetrated Low |
7 |
10 |
14 |
15 |
13 |
17 |
14 |
15 |
17 |
15 |
14 |
| Scenario Percentage |
70% |
48% |
64% |
71% |
62% |
77% |
74% |
65% |
89% |
75% |
78% |
| Avg Max Decline |
6.26% |
6.77% |
6.54% |
5.14% |
6.17% |
5.31% |
5.32% |
7.37% |
5.82% |
6.53% |
9.85% |
| Max Decline |
11.87% |
14.48% |
27.03% |
22.79% |
13.42% |
14.82% |
13.62% |
23.20% |
17.32% |
15.03% |
24.65% |
| Avg Days To Max Decline |
23 |
20 |
16 |
18 |
20 |
18 |
17 |
13 |
14 |
10 |
19 |
| Avg Max Increase |
-1.07% |
-0.61% |
-0.80% |
-1.11% |
-1.74% |
-2.14% |
-1.55% |
-1.05% |
-1.90% |
-1.54% |
-3.39% |
| 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 |
8 |
12 |
7 |
5 |
8 |
8 |
11 |
| 2008 Contract Condition |
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
No |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
| High |
102.950 |
104.750 |
104.950 |
104.950 |
109.135 |
115.335 |
114.850 |
110.480 |
106.550 |
100.900 |
94.750 |
| Low |
99.800 |
101.000 |
100.250 |
100.950 |
103.350 |
107.500 |
106.300 |
105.150 |
99.800 |
87.100 |
83.000 |
| Close/Last |
102.075 |
104.600 |
101.400 |
104.300 |
108.835 |
112.950 |
109.030 |
106.400 |
100.385 |
92.700 |
87.385 |
|
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