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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM 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          
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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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Copper’s seasonal sell is here: MRCI data shows July futures will dip into June 19.

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https://www.barchart.com/story/news/32353143/coppers-summer-slide-can-traders-profit-from-july-futures-seasonal-drop