|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM 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 |
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
