|
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 |
|
|
|
|
|
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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