|
MRCI's ScenarioSM Study |
ScenarioSM Study for August Live 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
39 |
41 |
42 |
44 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
18 |
19 |
26 |
30 |
25 |
22 |
23 |
26 |
21 |
20 |
24 |
Exceeded High |
|
16 |
15 |
25 |
29 |
20 |
18 |
20 |
20 |
18 |
18 |
19 |
Scenario Percentage |
|
89% |
79% |
96% |
97% |
80% |
82% |
87% |
77% |
86% |
90% |
79% |
Avg Max Increase |
|
2.80% |
3.59% |
4.17% |
4.42% |
4.70% |
5.80% |
8.28% |
6.70% |
6.48% |
7.13% |
4.04% |
Max Increase |
|
5.28% |
8.67% |
19.17% |
12.63% |
16.50% |
15.89% |
22.50% |
20.21% |
16.21% |
25.20% |
9.32% |
Avg Days To Max Increase |
|
18 |
15 |
17 |
15 |
16 |
19 |
22 |
14 |
18 |
14 |
14 |
Avg Max Decline |
|
-1.66% |
-0.81% |
-1.13% |
-0.79% |
-1.16% |
-1.37% |
-1.21% |
-1.55% |
-2.03% |
-1.62% |
-0.99% |
Max Decline |
|
-6.31% |
-3.36% |
-3.71% |
-4.32% |
-3.95% |
-6.96% |
-4.08% |
-5.48% |
-5.01% |
-5.02% |
-3.43% |
Avg Days to Max Decline |
|
11 |
8 |
8 |
7 |
6 |
6 |
7 |
8 |
13 |
9 |
3 |
2010 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Action |
|
|
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
39 |
41 |
42 |
44 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
19 |
21 |
16 |
13 |
19 |
22 |
21 |
18 |
23 |
25 |
20 |
Penetrated Low |
|
15 |
14 |
12 |
7 |
14 |
14 |
18 |
14 |
16 |
19 |
9 |
Scenario Percentage |
|
79% |
67% |
75% |
54% |
74% |
64% |
86% |
78% |
70% |
76% |
45% |
Avg Max Decline |
|
4.47% |
4.87% |
5.24% |
5.46% |
5.65% |
6.69% |
6.37% |
6.59% |
6.78% |
6.00% |
3.31% |
Max Decline |
|
17.36% |
16.33% |
17.02% |
14.82% |
12.84% |
14.09% |
23.21% |
26.75% |
19.32% |
16.00% |
7.32% |
Avg Days To Max Decline |
|
15 |
12 |
16 |
19 |
21 |
20 |
18 |
19 |
19 |
13 |
10 |
Avg Max Increase |
|
-0.86% |
-0.69% |
-0.95% |
-1.78% |
-1.66% |
-0.71% |
-1.53% |
-1.46% |
-1.47% |
-1.58% |
-1.11% |
Max Increase |
|
-2.35% |
-2.07% |
-3.29% |
-3.40% |
-3.97% |
-2.22% |
-5.21% |
-3.01% |
-3.58% |
-4.35% |
-7.13% |
Avg Days to Max Increase |
|
3 |
3 |
7 |
12 |
8 |
7 |
10 |
11 |
6 |
7 |
3 |
2010 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
|
|
Yes |
|
|
Action |
|
Yes |
Yes |
|
|
Yes |
|
|
|
Not Yet |
|
|
High |
88.700 |
86.925 |
86.800 |
86.200 |
87.750 |
87.950 |
89.525 |
93.600 |
94.950 |
95.575 |
90.025 |
|
Low |
86.050 |
84.875 |
83.925 |
84.725 |
83.500 |
86.700 |
86.575 |
88.750 |
91.250 |
88.500 |
89.000 |
|
Close/Last |
86.600 |
85.700 |
85.125 |
85.675 |
87.700 |
87.325 |
88.825 |
91.525 |
93.525 |
89.250 |
89.625 |
|
|
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