|
MRCI's ScenarioSM Study |
ScenarioSM Study for October 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Tested Years |
|
9 |
31 |
34 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
Closed Higher |
|
3 |
19 |
23 |
22 |
16 |
24 |
24 |
21 |
24 |
22 |
19 |
Exceeded High |
|
3 |
19 |
20 |
14 |
14 |
18 |
19 |
20 |
20 |
20 |
13 |
Scenario Percentage |
|
100% |
100% |
87% |
64% |
88% |
75% |
79% |
95% |
83% |
91% |
68% |
Avg Max Increase |
|
6.93% |
5.04% |
4.23% |
6.04% |
5.81% |
6.04% |
6.71% |
7.28% |
4.80% |
5.16% |
2.99% |
Max Increase |
|
10.29% |
14.38% |
15.47% |
13.16% |
24.60% |
17.00% |
17.69% |
33.68% |
13.80% |
17.30% |
10.87% |
Avg Days To Max Increase |
|
21 |
14 |
14 |
20 |
17 |
21 |
22 |
16 |
14 |
12 |
12 |
Avg Max Decline |
|
-0.56% |
-0.65% |
-0.98% |
-1.26% |
-1.17% |
-1.20% |
-1.90% |
-1.46% |
-1.76% |
-1.39% |
-0.68% |
Max Decline |
|
-1.01% |
-5.45% |
-3.21% |
-5.02% |
-2.84% |
-3.10% |
-7.28% |
-4.59% |
-6.61% |
-7.38% |
-2.04% |
Avg Days to Max Decline |
|
9 |
7 |
7 |
7 |
7 |
10 |
11 |
8 |
6 |
3 |
3 |
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Tested Years |
|
9 |
31 |
34 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
Closed Lower |
|
6 |
12 |
11 |
15 |
22 |
14 |
14 |
16 |
14 |
16 |
18 |
Penetrated Low |
|
3 |
6 |
7 |
12 |
16 |
8 |
12 |
11 |
11 |
12 |
11 |
Scenario Percentage |
|
50% |
50% |
64% |
80% |
73% |
57% |
86% |
69% |
79% |
75% |
61% |
Avg Max Decline |
|
6.75% |
5.41% |
7.71% |
5.78% |
6.99% |
7.61% |
6.63% |
6.32% |
6.97% |
6.28% |
3.75% |
Max Decline |
|
9.34% |
8.12% |
16.84% |
14.96% |
30.86% |
31.86% |
13.63% |
12.55% |
24.37% |
16.33% |
8.22% |
Avg Days To Max Decline |
|
16 |
21 |
23 |
18 |
18 |
10 |
16 |
15 |
13 |
11 |
11 |
Avg Max Increase |
|
0.05% |
-1.11% |
-1.57% |
-0.66% |
-1.69% |
-0.82% |
-1.21% |
-1.88% |
-3.00% |
-1.16% |
-1.09% |
Max Increase |
|
-0.68% |
-2.26% |
-5.30% |
-1.74% |
-6.89% |
-2.02% |
-4.47% |
-4.73% |
-7.79% |
-4.23% |
-4.09% |
Avg Days to Max Increase |
|
4 |
7 |
8 |
4 |
10 |
5 |
5 |
10 |
9 |
3 |
2 |
2010 Contract Condition |
|
Yes |
|
|
|
|
|
Yes |
|
|
|
|
Action |
|
Yes |
|
|
|
|
|
Not Yet |
|
|
|
|
High |
99.000 |
99.100 |
98.700 |
102.500 |
105.500 |
113.000 |
116.575 |
116.500 |
108.500 |
|
|
|
Low |
99.000 |
97.425 |
97.200 |
98.750 |
100.525 |
104.750 |
112.200 |
107.000 |
107.375 |
|
|
|
Close/Last |
99.000 |
97.700 |
98.700 |
102.500 |
104.700 |
112.950 |
115.150 |
108.150 |
108.400 |
|
|
|
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