|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Corn(CBOT) as of Sep 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
19 |
25 |
26 |
19 |
21 |
19 |
15 |
24 |
16 |
18 |
22 |
| Exceeded High |
18 |
19 |
22 |
16 |
16 |
14 |
11 |
16 |
12 |
10 |
9 |
| Scenario Percentage |
95% |
76% |
85% |
84% |
76% |
74% |
73% |
67% |
75% |
56% |
41% |
| Avg Max Increase |
6.51% |
6.11% |
7.44% |
14.70% |
14.37% |
11.93% |
11.82% |
6.35% |
12.28% |
7.07% |
4.19% |
| Max Increase |
19.16% |
15.57% |
37.39% |
62.47% |
50.71% |
37.37% |
25.90% |
13.70% |
44.00% |
17.85% |
17.37% |
| Avg Days To Max Increase |
20 |
13 |
16 |
18 |
14 |
12 |
15 |
15 |
18 |
13 |
8 |
| Avg Max Decline |
-1.29% |
-1.94% |
-1.30% |
-2.29% |
-2.67% |
-1.15% |
-2.95% |
-2.83% |
-2.40% |
-1.53% |
-0.43% |
| Max Decline |
-3.29% |
-5.76% |
-6.85% |
-6.87% |
-6.10% |
-6.27% |
-12.19% |
-11.79% |
-9.22% |
-6.88% |
-1.83% |
| Avg Days to Max Decline |
12 |
8 |
13 |
11 |
7 |
6 |
7 |
13 |
11 |
4 |
2 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
|
|
Yes |
|
|
| Action |
Yes |
No |
|
|
Yes |
|
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
36 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
17 |
20 |
19 |
26 |
24 |
26 |
30 |
21 |
29 |
26 |
23 |
| Penetrated Low |
16 |
14 |
17 |
24 |
21 |
22 |
24 |
16 |
23 |
19 |
16 |
| Scenario Percentage |
94% |
70% |
89% |
92% |
88% |
85% |
80% |
76% |
79% |
73% |
70% |
| Avg Max Decline |
4.74% |
4.49% |
5.98% |
7.83% |
9.33% |
10.57% |
6.23% |
4.88% |
6.40% |
6.21% |
11.38% |
| Max Decline |
17.02% |
10.02% |
12.32% |
18.00% |
24.31% |
17.55% |
13.47% |
11.98% |
13.59% |
13.22% |
62.48% |
| Avg Days To Max Decline |
17 |
17 |
15 |
20 |
23 |
17 |
17 |
14 |
21 |
10 |
9 |
| Avg Max Increase |
-1.68% |
-2.40% |
-2.43% |
-2.07% |
-3.99% |
-2.21% |
-2.05% |
-1.43% |
-2.31% |
-1.85% |
-1.35% |
| Max Increase |
-5.97% |
-7.38% |
-7.08% |
-9.30% |
-18.17% |
-17.80% |
-11.02% |
-4.37% |
-5.13% |
-4.64% |
-3.20% |
| Avg Days to Max Increase |
11 |
11 |
11 |
9 |
11 |
4 |
9 |
6 |
11 |
5 |
3 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
| Action |
|
|
Yes |
Yes |
|
Yes |
No |
Not Yet |
|
|
|
| High |
403.00 |
429.50 |
415.50 |
401.00 |
393.00 |
431.00 |
371.00 |
372.00 |
389.50 |
375.75 |
|
| Low |
354.50 |
388.50 |
383.50 |
358.00 |
356.00 |
344.00 |
324.50 |
326.50 |
335.50 |
368.00 |
|
| Close/Last |
394.75 |
420.00 |
383.50 |
364.50 |
384.75 |
350.75 |
342.25 |
340.00 |
373.00 |
368.75 |
|
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