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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Corn(CBOT) as of Jul 14, 2005 |
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 |
| Tested Years |
34 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
20 |
23 |
23 |
23 |
27 |
17 |
22 |
17 |
14 |
24 |
| Exceeded High |
10 |
11 |
17 |
20 |
19 |
25 |
13 |
15 |
12 |
9 |
12 |
| Scenario Percentage |
56% |
55% |
74% |
87% |
83% |
93% |
76% |
68% |
71% |
64% |
50% |
| Avg Max Increase |
5.40% |
6.83% |
7.34% |
5.90% |
5.13% |
7.18% |
12.26% |
13.77% |
13.88% |
11.10% |
3.74% |
| Max Increase |
10.94% |
14.20% |
29.46% |
15.89% |
17.33% |
41.01% |
42.10% |
56.06% |
32.50% |
20.75% |
10.02% |
| Avg Days To Max Increase |
19 |
16 |
18 |
20 |
13 |
14 |
16 |
15 |
15 |
10 |
7 |
| Avg Max Decline |
-0.92% |
-1.23% |
-0.79% |
-1.12% |
-1.45% |
-1.46% |
-1.33% |
-2.11% |
-0.93% |
-1.26% |
-0.71% |
| Max Decline |
-2.62% |
-4.56% |
-3.84% |
-2.85% |
-5.14% |
-7.29% |
-6.25% |
-5.50% |
-5.72% |
-6.60% |
-2.19% |
| Avg Days to Max Decline |
9 |
9 |
7 |
8 |
8 |
9 |
10 |
6 |
5 |
2 |
3 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
|
|
|
|
Yes |
Yes |
| Action |
Yes |
Yes |
Yes |
|
Yes |
|
|
|
|
Not Yet |
Not Yet |
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 |
| Tested Years |
34 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
16 |
24 |
22 |
22 |
22 |
17 |
27 |
23 |
28 |
30 |
21 |
| Penetrated Low |
11 |
16 |
17 |
21 |
16 |
15 |
24 |
21 |
23 |
22 |
12 |
| Scenario Percentage |
69% |
67% |
77% |
95% |
73% |
88% |
89% |
91% |
82% |
73% |
57% |
| Avg Max Decline |
4.30% |
5.76% |
4.13% |
4.58% |
4.29% |
6.10% |
8.32% |
9.70% |
11.43% |
6.03% |
11.40% |
| Max Decline |
8.01% |
22.45% |
20.47% |
17.92% |
9.56% |
12.01% |
18.83% |
27.77% |
19.93% |
14.83% |
57.91% |
| Avg Days To Max Decline |
15 |
13 |
17 |
16 |
14 |
15 |
23 |
22 |
16 |
10 |
10 |
| Avg Max Increase |
-1.42% |
-1.18% |
-1.23% |
-1.48% |
-2.35% |
-2.05% |
-2.57% |
-3.50% |
-1.58% |
-1.26% |
-1.22% |
| Max Increase |
-6.50% |
-4.22% |
-3.85% |
-4.19% |
-9.03% |
-5.91% |
-10.51% |
-15.97% |
-10.12% |
-8.17% |
-4.57% |
| Avg Days to Max Increase |
7 |
7 |
7 |
9 |
8 |
8 |
12 |
9 |
4 |
4 |
4 |
| 2001 Contract Condition |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
No |
|
|
| High |
241.00 |
249.00 |
253.50 |
254.00 |
239.50 |
241.50 |
230.50 |
220.00 |
209.25 |
235.50 |
225.50 |
| Low |
229.75 |
238.50 |
237.00 |
232.00 |
232.75 |
219.50 |
209.75 |
195.75 |
192.00 |
194.00 |
208.75 |
| Close/Last |
238.50 |
241.75 |
253.25 |
233.00 |
238.25 |
220.00 |
215.50 |
200.50 |
197.25 |
218.75 |
219.00 |
|
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