|
MRCI's ScenarioSM Study |
ScenarioSM Study for August Feeder Cattle(CME) as of Apr 30, 2011 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
11 |
31 |
35 |
36 |
36 |
38 |
38 |
39 |
39 |
39 |
39 |
Closed Higher |
|
6 |
11 |
20 |
22 |
25 |
22 |
18 |
25 |
22 |
23 |
25 |
Exceeded High |
|
5 |
6 |
18 |
21 |
21 |
15 |
15 |
20 |
18 |
21 |
20 |
Scenario Percentage |
|
83% |
55% |
90% |
95% |
84% |
68% |
83% |
80% |
82% |
91% |
80% |
Avg Max Increase |
|
4.67% |
3.81% |
4.33% |
5.30% |
4.89% |
7.03% |
6.69% |
5.92% |
6.99% |
6.03% |
4.06% |
Max Increase |
|
7.56% |
6.02% |
11.09% |
15.56% |
16.73% |
17.28% |
24.60% |
17.35% |
14.63% |
11.04% |
13.56% |
Avg Days To Max Increase |
|
22 |
13 |
20 |
15 |
16 |
18 |
20 |
20 |
19 |
15 |
14 |
Avg Max Decline |
|
-1.32% |
-1.21% |
-1.07% |
-0.80% |
-1.29% |
-1.49% |
-1.26% |
-1.55% |
-1.83% |
-1.33% |
-0.98% |
Max Decline |
|
-2.86% |
-3.21% |
-4.34% |
-5.57% |
-4.41% |
-5.00% |
-2.71% |
-5.22% |
-7.20% |
-4.71% |
-2.83% |
Avg Days to Max Decline |
|
17 |
7 |
9 |
10 |
7 |
6 |
13 |
12 |
9 |
5 |
3 |
2011 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
Action |
|
|
Yes |
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
11 |
31 |
35 |
36 |
36 |
38 |
38 |
39 |
39 |
39 |
39 |
Closed Lower |
|
4 |
20 |
15 |
14 |
11 |
16 |
20 |
14 |
17 |
16 |
14 |
Penetrated Low |
|
4 |
13 |
8 |
8 |
8 |
13 |
16 |
8 |
9 |
10 |
10 |
Scenario Percentage |
|
100% |
65% |
53% |
57% |
73% |
81% |
80% |
57% |
53% |
63% |
71% |
Avg Max Decline |
|
6.88% |
5.54% |
7.17% |
5.08% |
7.08% |
6.17% |
6.14% |
7.53% |
9.89% |
5.65% |
2.19% |
Max Decline |
|
15.04% |
15.87% |
15.49% |
8.18% |
16.93% |
18.30% |
12.76% |
29.63% |
15.85% |
10.89% |
5.65% |
Avg Days To Max Decline |
|
21 |
16 |
19 |
14 |
19 |
18 |
16 |
18 |
19 |
14 |
6 |
Avg Max Increase |
|
-0.90% |
-0.78% |
-0.36% |
-1.04% |
-1.53% |
-0.67% |
-1.58% |
-1.76% |
-1.35% |
-2.32% |
-0.76% |
Max Increase |
|
-1.81% |
-2.35% |
-1.05% |
-2.29% |
-5.44% |
-2.00% |
-7.40% |
-4.29% |
-3.03% |
-6.78% |
-2.98% |
Avg Days to Max Increase |
|
8 |
7 |
5 |
6 |
6 |
5 |
9 |
10 |
11 |
7 |
3 |
2011 Contract Condition |
|
Yes |
|
|
|
|
|
|
Yes |
Yes |
|
|
Action |
|
Yes |
|
|
|
|
|
|
Not Yet |
|
|
|
High |
115.850 |
115.500 |
116.500 |
121.500 |
125.800 |
130.500 |
134.800 |
141.275 |
142.000 |
136.775 |
|
|
Low |
114.900 |
112.050 |
110.975 |
114.025 |
119.475 |
123.850 |
126.500 |
129.550 |
132.925 |
134.775 |
|
|
Close/Last |
115.250 |
114.100 |
115.200 |
121.375 |
125.800 |
129.975 |
133.100 |
141.225 |
135.950 |
134.825 |
|
|
|
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