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MRCI's Scenario Study
MRCI's
Scenario
SM
Study
Scenario
SM
Study for October 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
Oct
Nov
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Tested Years
40
43
43
44
45
45
45
45
45
45
45
Closed Higher
27
30
30
24
21
27
21
21
27
21
25
Exceeded High
25
26
26
18
18
20
19
20
24
17
18
Scenario Percentage
93%
87%
87%
75%
86%
74%
90%
95%
89%
81%
72%
Avg Max Increase
3.47%
4.89%
4.25%
4.96%
5.68%
5.92%
5.63%
7.17%
4.85%
6.81%
4.45%
Max Increase
9.11%
14.10%
14.44%
14.08%
20.35%
13.11%
21.44%
27.14%
13.64%
25.05%
18.26%
Avg Days To Max Increase
19
17
16
19
18
14
15
14
15
13
16
Avg Max Decline
-1.01%
-0.49%
-1.20%
-1.14%
-1.37%
-1.20%
-1.85%
-1.81%
-1.85%
-1.49%
-0.67%
Max Decline
-3.69%
-1.68%
-4.11%
-5.63%
-5.37%
-7.13%
-4.03%
-10.28%
-8.40%
-6.73%
-3.21%
Avg Days to Max Decline
11
9
6
7
6
8
10
8
5
9
4
2010 Contract Condition
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Action
Yes
Yes
Yes
Yes
Yes
Yes
Copyright © 1989-
Moore Research Center, Inc.
All Rights Reserved.
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
40
43
43
44
45
45
45
45
45
45
45
Closed Lower
13
13
13
20
23
18
24
24
18
24
20
Penetrated Low
9
4
10
13
16
13
18
17
15
18
13
Scenario Percentage
69%
31%
77%
65%
70%
72%
75%
71%
83%
75%
65%
Avg Max Decline
4.12%
7.33%
6.16%
6.83%
6.25%
6.05%
5.38%
5.88%
5.19%
6.96%
3.97%
Max Decline
12.82%
13.48%
12.91%
14.73%
25.65%
22.84%
14.26%
15.45%
13.56%
23.20%
12.03%
Avg Days To Max Decline
16
16
21
18
16
19
22
19
15
11
13
Avg Max Increase
-0.73%
-1.62%
-1.68%
-0.51%
-1.19%
-1.28%
-1.76%
-2.25%
-2.24%
-1.69%
-0.92%
Max Increase
-3.67%
-2.70%
-3.63%
-1.96%
-3.76%
-2.33%
-5.22%
-6.56%
-6.02%
-4.87%
-5.55%
Avg Days to Max Increase
6
13
6
7
8
8
9
12
11
5
2
2010 Contract Condition
Yes
Action
Not Yet
High
89.850
89.100
89.900
90.400
91.750
95.100
96.850
96.900
91.500
Low
86.850
87.600
86.700
89.050
89.075
91.325
93.700
89.350
90.550
Close/Last
87.700
88.725
89.700
89.975
91.550
94.325
95.650
90.775
91.150
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