|
MRCI's ScenarioSM Study |
ScenarioSM Study for August 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
40 |
42 |
43 |
44 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
18 |
19 |
27 |
31 |
25 |
22 |
23 |
26 |
20 |
21 |
25 |
Exceeded High |
|
16 |
15 |
26 |
30 |
20 |
18 |
20 |
20 |
17 |
19 |
20 |
Scenario Percentage |
|
89% |
79% |
96% |
97% |
80% |
82% |
87% |
77% |
85% |
90% |
80% |
Avg Max Increase |
|
2.80% |
3.59% |
4.12% |
4.35% |
4.70% |
5.86% |
7.89% |
6.32% |
6.74% |
7.35% |
4.25% |
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 |
21 |
14 |
19 |
14 |
15 |
Avg Max Decline |
|
-1.66% |
-0.81% |
-1.19% |
-0.81% |
-1.16% |
-1.35% |
-1.23% |
-1.57% |
-2.15% |
-1.57% |
-1.00% |
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 |
8 |
6 |
6 |
7 |
8 |
13 |
9 |
3 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
Action |
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Tested Years |
|
40 |
42 |
43 |
44 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
20 |
22 |
16 |
12 |
19 |
22 |
21 |
18 |
24 |
24 |
19 |
Penetrated Low |
|
16 |
15 |
12 |
7 |
15 |
14 |
18 |
14 |
17 |
18 |
9 |
Scenario Percentage |
|
80% |
68% |
75% |
58% |
79% |
64% |
86% |
78% |
71% |
75% |
47% |
Avg Max Decline |
|
4.32% |
4.67% |
5.24% |
5.46% |
5.33% |
6.69% |
6.37% |
6.59% |
6.52% |
6.15% |
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 |
|
14 |
12 |
16 |
19 |
20 |
20 |
18 |
19 |
19 |
13 |
10 |
Avg Max Increase |
|
-0.75% |
-0.72% |
-0.95% |
-1.78% |
-1.56% |
-0.71% |
-1.53% |
-1.46% |
-1.51% |
-1.60% |
-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 |
7 |
7 |
10 |
11 |
5 |
7 |
3 |
2011 Contract Condition |
|
|
|
|
|
|
|
|
Yes |
Yes |
|
|
Action |
|
|
|
|
|
|
|
|
Not Yet |
|
|
|
High |
99.400 |
100.300 |
103.400 |
106.250 |
110.275 |
115.650 |
118.775 |
122.275 |
122.900 |
116.275 |
|
|
Low |
95.450 |
97.350 |
97.325 |
101.800 |
104.125 |
107.825 |
112.850 |
111.725 |
114.025 |
114.025 |
|
|
Close/Last |
98.550 |
99.325 |
102.450 |
106.150 |
109.750 |
114.850 |
116.900 |
122.175 |
115.700 |
114.525 |
|
|
|
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