|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
11 |
29 |
35 |
35 |
38 |
38 |
39 |
39 |
39 |
39 |
39 |
| Closed Higher |
|
5 |
15 |
21 |
24 |
22 |
17 |
25 |
22 |
23 |
25 |
22 |
| Exceeded High |
|
4 |
13 |
21 |
21 |
15 |
15 |
18 |
18 |
21 |
21 |
12 |
| Scenario Percentage |
|
80% |
87% |
100% |
88% |
68% |
88% |
72% |
82% |
91% |
84% |
55% |
| Avg Max Increase |
|
3.83% |
4.83% |
4.94% |
4.83% |
6.52% |
5.93% |
6.08% |
7.01% |
5.75% |
5.31% |
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 |
17 |
14 |
16 |
| Avg Max Decline |
|
-0.73% |
-0.74% |
-0.65% |
-1.04% |
-1.26% |
-0.94% |
-1.09% |
-1.94% |
-1.46% |
-1.68% |
-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 |
8 |
6 |
2 |
| 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
11 |
29 |
35 |
35 |
38 |
38 |
39 |
39 |
39 |
39 |
39 |
| Closed Lower |
|
6 |
14 |
13 |
11 |
16 |
21 |
14 |
17 |
16 |
14 |
16 |
| Penetrated Low |
|
5 |
9 |
7 |
7 |
14 |
15 |
8 |
11 |
10 |
10 |
10 |
| Scenario Percentage |
|
83% |
64% |
54% |
64% |
88% |
71% |
57% |
65% |
63% |
71% |
63% |
| Avg Max Decline |
|
3.99% |
5.50% |
5.18% |
7.51% |
5.67% |
5.95% |
7.54% |
8.47% |
6.44% |
6.02% |
3.27% |
| 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 |
|
13 |
17 |
16 |
22 |
17 |
16 |
17 |
18 |
15 |
15 |
12 |
| Avg Max Increase |
|
-1.08% |
-0.50% |
-1.02% |
-1.60% |
-0.67% |
-1.55% |
-1.22% |
-1.27% |
-1.84% |
-2.92% |
-1.21% |
| 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 |
|
11 |
6 |
6 |
7 |
4 |
9 |
10 |
5 |
9 |
14 |
3 |
| 2011 Contract Condition |
|
|
|
|
|
|
|
Yes |
Yes |
|
|
|
| Action |
|
|
|
|
|
|
|
Not Yet |
|
|
|
|
| High |
114.600 |
116.000 |
120.600 |
125.500 |
130.000 |
133.750 |
140.600 |
141.700 |
137.500 |
|
|
|
| Low |
114.600 |
112.950 |
114.250 |
118.625 |
123.650 |
126.675 |
129.150 |
133.725 |
135.750 |
|
|
|
| Close/Last |
114.600 |
115.100 |
120.600 |
125.500 |
129.800 |
132.350 |
140.425 |
136.925 |
136.200 |
|
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
