|
MRCI's ScenarioSM Study |
ScenarioSM Study for June Live 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Tested Years |
|
39 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
24 |
17 |
20 |
24 |
30 |
31 |
30 |
26 |
24 |
26 |
21 |
Exceeded High |
|
15 |
14 |
18 |
19 |
25 |
29 |
23 |
21 |
19 |
18 |
13 |
Scenario Percentage |
|
63% |
82% |
90% |
79% |
83% |
94% |
77% |
81% |
79% |
69% |
62% |
Avg Max Increase |
|
4.52% |
3.18% |
3.68% |
4.37% |
4.90% |
4.61% |
6.70% |
6.65% |
9.58% |
7.78% |
4.72% |
Max Increase |
|
11.99% |
8.55% |
7.95% |
13.06% |
16.47% |
11.90% |
17.54% |
18.85% |
23.53% |
21.24% |
9.92% |
Avg Days To Max Increase |
|
13 |
12 |
20 |
19 |
19 |
16 |
17 |
18 |
20 |
13 |
15 |
Avg Max Decline |
|
-1.28% |
-1.33% |
-1.48% |
-1.22% |
-1.54% |
-0.98% |
-1.27% |
-1.35% |
-1.20% |
-1.29% |
-1.36% |
Max Decline |
|
-7.20% |
-3.06% |
-6.27% |
-3.45% |
-6.05% |
-3.21% |
-4.47% |
-4.17% |
-4.02% |
-6.83% |
-3.65% |
Avg Days to Max Decline |
|
6 |
10 |
11 |
13 |
11 |
9 |
6 |
6 |
7 |
6 |
4 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Action |
|
Yes |
Yes |
Yes |
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Tested Years |
|
39 |
43 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
15 |
25 |
24 |
20 |
15 |
14 |
15 |
18 |
21 |
19 |
24 |
Penetrated Low |
|
13 |
17 |
19 |
14 |
12 |
7 |
12 |
11 |
18 |
15 |
15 |
Scenario Percentage |
|
87% |
68% |
79% |
70% |
80% |
50% |
80% |
61% |
86% |
79% |
63% |
Avg Max Decline |
|
5.27% |
5.32% |
4.41% |
5.29% |
5.81% |
5.83% |
5.74% |
8.35% |
7.43% |
6.27% |
4.90% |
Max Decline |
|
12.09% |
18.54% |
16.12% |
16.03% |
17.00% |
14.34% |
12.92% |
14.79% |
17.07% |
22.77% |
11.72% |
Avg Days To Max Decline |
|
14 |
15 |
15 |
12 |
14 |
19 |
21 |
21 |
18 |
13 |
13 |
Avg Max Increase |
|
-1.07% |
-0.77% |
-0.97% |
-1.32% |
-0.98% |
-1.98% |
-2.33% |
-0.71% |
-1.70% |
-1.21% |
-0.75% |
Max Increase |
|
-4.24% |
-1.67% |
-3.34% |
-5.86% |
-3.17% |
-3.41% |
-4.60% |
-1.99% |
-5.92% |
-3.76% |
-2.56% |
Avg Days to Max Increase |
|
5 |
7 |
4 |
8 |
5 |
11 |
8 |
6 |
5 |
7 |
2 |
2011 Contract Condition |
|
|
|
|
|
|
|
|
|
|
Yes |
Yes |
Action |
|
|
|
|
|
|
|
|
|
|
Yes |
|
High |
93.475 |
96.025 |
100.050 |
100.800 |
104.000 |
106.650 |
109.875 |
115.500 |
116.700 |
121.000 |
121.625 |
113.975 |
Low |
91.050 |
92.300 |
95.450 |
97.700 |
97.650 |
101.875 |
104.200 |
107.600 |
111.550 |
110.650 |
112.025 |
111.575 |
Close/Last |
92.900 |
96.000 |
98.500 |
99.900 |
102.525 |
106.250 |
109.275 |
114.550 |
114.650 |
120.975 |
113.350 |
111.950 |
|
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