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MRCI's Scenario Study
MRCI's
Scenario
SM
Study
Scenario
SM
Study for September Feeder Cattle(CME) as of May 31, 2010
Condition 1
: Higher Monthly Close.
Action
---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Tested Years
10
28
34
34
37
37
38
38
38
38
38
Closed Higher
5
15
20
23
21
16
24
22
22
24
22
Exceeded High
4
13
20
20
14
14
18
18
20
20
12
Scenario Percentage
80%
87%
100%
87%
67%
88%
75%
82%
91%
83%
55%
Avg Max Increase
3.83%
4.83%
4.84%
4.53%
6.12%
6.12%
6.08%
7.01%
5.86%
5.45%
4.80%
Max Increase
6.11%
11.41%
14.86%
16.98%
13.74%
23.29%
15.76%
15.98%
10.82%
13.26%
13.04%
Avg Days To Max Increase
6
19
14
14
19
17
18
22
16
13
16
Avg Max Decline
-0.73%
-0.74%
-0.69%
-1.02%
-1.35%
-0.97%
-1.09%
-1.94%
-1.44%
-1.63%
-0.64%
Max Decline
-2.20%
-2.72%
-6.06%
-3.61%
-4.67%
-2.50%
-3.12%
-6.69%
-4.86%
-6.34%
-1.79%
Avg Days to Max Decline
7
11
8
7
5
7
9
10
7
5
2
2010 Contract Condition
Yes
Yes
Yes
Yes
Yes
Yes
Action
Yes
Yes
Yes
Yes
Not Yet
Copyright © 1989-
Moore Research Center, Inc.
All Rights Reserved.
Condition 2
: Lower Monthly Close.
Action
---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Tested Years
10
28
34
34
37
37
38
38
38
38
38
Closed Lower
5
13
13
11
16
21
14
16
16
14
15
Penetrated Low
4
8
7
7
14
15
8
11
10
10
9
Scenario Percentage
80%
62%
54%
64%
88%
71%
57%
69%
63%
71%
60%
Avg Max Decline
4.56%
6.09%
5.18%
7.51%
5.67%
5.95%
7.54%
8.47%
6.44%
6.02%
3.14%
Max Decline
11.88%
14.00%
7.91%
16.56%
16.03%
12.14%
29.88%
15.13%
12.06%
22.58%
7.23%
Avg Days To Max Decline
16
19
16
22
17
16
17
18
15
15
10
Avg Max Increase
-1.21%
-0.55%
-1.02%
-1.60%
-0.67%
-1.55%
-1.22%
-1.27%
-1.84%
-2.92%
-1.26%
Max Increase
-2.56%
-1.99%
-2.32%
-5.25%
-1.94%
-8.09%
-3.24%
-4.09%
-5.51%
-8.36%
-5.88%
Avg Days to Max Increase
13
7
6
7
4
9
10
5
9
14
3
2010 Contract Condition
Yes
Yes
Yes
Action
Yes
Yes
Not Yet
High
101.600
100.000
99.450
98.900
102.750
105.750
113.900
117.500
117.075
109.000
Low
100.000
98.900
97.800
97.200
99.000
101.150
104.750
113.150
107.250
107.775
Close/Last
100.000
98.900
98.000
98.900
102.750
104.775
113.850
115.900
108.500
108.900
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