|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Corn(CBOT) as of Apr 21, 2009 |
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 |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
20 |
21 |
23 |
23 |
25 |
27 |
18 |
22 |
17 |
15 |
23 |
| Exceeded High |
12 |
12 |
17 |
20 |
20 |
25 |
14 |
16 |
11 |
9 |
11 |
| Scenario Percentage |
60% |
57% |
74% |
87% |
80% |
93% |
78% |
73% |
65% |
60% |
48% |
| Avg Max Increase |
6.96% |
9.14% |
8.74% |
7.05% |
5.70% |
7.78% |
13.46% |
14.10% |
14.91% |
11.10% |
3.92% |
| Max Increase |
14.84% |
26.38% |
29.46% |
16.18% |
17.33% |
41.01% |
42.10% |
56.06% |
32.50% |
20.75% |
10.02% |
| Avg Days To Max Increase |
20 |
16 |
19 |
22 |
14 |
14 |
17 |
16 |
16 |
10 |
7 |
| Avg Max Decline |
-0.85% |
-1.53% |
-1.35% |
-1.32% |
-2.30% |
-1.58% |
-1.95% |
-2.51% |
-1.08% |
-1.26% |
-0.59% |
| Max Decline |
-2.62% |
-5.06% |
-6.73% |
-3.26% |
-8.22% |
-7.29% |
-6.25% |
-5.50% |
-5.72% |
-6.60% |
-2.19% |
| Avg Days to Max Decline |
8 |
8 |
7 |
11 |
10 |
10 |
12 |
8 |
6 |
2 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
No |
|
|
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 |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
18 |
24 |
21 |
22 |
20 |
17 |
27 |
23 |
28 |
30 |
22 |
| Penetrated Low |
13 |
16 |
16 |
22 |
15 |
16 |
24 |
21 |
23 |
22 |
12 |
| Scenario Percentage |
72% |
67% |
76% |
100% |
75% |
94% |
89% |
91% |
82% |
73% |
55% |
| Avg Max Decline |
4.20% |
5.72% |
4.13% |
4.42% |
4.02% |
6.51% |
8.57% |
9.86% |
12.01% |
6.82% |
17.87% |
| Max Decline |
8.01% |
22.45% |
20.47% |
17.92% |
9.56% |
12.01% |
18.83% |
27.77% |
19.93% |
17.36% |
57.91% |
| Avg Days To Max Decline |
16 |
13 |
17 |
15 |
13 |
15 |
22 |
22 |
16 |
11 |
13 |
| Avg Max Increase |
-1.41% |
-1.28% |
-1.29% |
-1.44% |
-2.42% |
-2.25% |
-3.09% |
-4.76% |
-2.80% |
-1.43% |
-1.10% |
| Max Increase |
-6.50% |
-4.22% |
-3.85% |
-4.19% |
-9.03% |
-5.91% |
-18.19% |
-27.18% |
-18.34% |
-8.17% |
-5.09% |
| Avg Days to Max Increase |
8 |
7 |
7 |
9 |
8 |
9 |
13 |
10 |
5 |
4 |
4 |
| 2008 Contract Condition |
|
|
|
|
|
|
|
Yes |
|
Yes |
Yes |
| Action |
|
|
|
|
|
|
|
Yes |
|
Yes |
Yes |
| High |
420.00 |
431.00 |
475.50 |
539.00 |
569.00 |
603.25 |
632.25 |
647.00 |
779.00 |
762.75 |
605.00 |
| Low |
378.75 |
409.50 |
424.00 |
474.00 |
514.00 |
519.50 |
577.00 |
586.00 |
612.00 |
544.00 |
485.50 |
| Close/Last |
414.50 |
426.50 |
474.25 |
519.25 |
565.25 |
584.50 |
621.75 |
612.50 |
737.75 |
587.50 |
568.25 |
|
|