MRCI Online
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| ScenarioSM Study for December Live Cattle(CME) as of Jan 01, 2010 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 35 | 44 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
| Closed Higher | 23 | 23 | 22 | 24 | 23 | 22 | 25 | 21 | 25 | 24 | 26 |
| Exceeded High | 19 | 17 | 19 | 20 | 19 | 20 | 19 | 18 | 22 | 18 | 18 |
| Scenario Percentage | 83% | 74% | 86% | 83% | 83% | 91% | 76% | 86% | 88% | 75% | 69% |
| Avg Max Increase | 3.53% | 4.01% | 4.79% | 5.32% | 5.12% | 6.76% | 4.59% | 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 | 19 | 17 | 18 | 20 | 15 | 14 |
| Avg Max Decline | -1.29% | -1.08% | -0.93% | -1.16% | -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 | 8 | 11 | 6 | 7 | 9 | 9 | 5 | 3 |
| 2009 Contract Condition | Yes | Yes | Yes | ||||||||
| Action | No | Yes | No | ||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
