|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Corn(CBOT) as of Jan 07, 2009 |
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 |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
21 |
26 |
26 |
20 |
21 |
19 |
15 |
23 |
15 |
19 |
22 |
| Exceeded High |
20 |
20 |
22 |
17 |
16 |
13 |
11 |
15 |
12 |
11 |
8 |
| Scenario Percentage |
95% |
77% |
85% |
85% |
76% |
68% |
73% |
65% |
80% |
58% |
36% |
| Avg Max Increase |
7.13% |
6.44% |
7.99% |
15.44% |
14.61% |
12.34% |
11.82% |
6.11% |
12.04% |
7.06% |
4.82% |
| 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 |
14 |
16 |
18 |
15 |
13 |
15 |
14 |
18 |
14 |
7 |
| Avg Max Decline |
-1.27% |
-2.30% |
-1.26% |
-2.43% |
-2.79% |
-1.28% |
-2.95% |
-2.97% |
-3.08% |
-1.60% |
-0.37% |
| Max Decline |
-3.29% |
-9.24% |
-6.85% |
-6.87% |
-6.10% |
-6.27% |
-12.19% |
-11.79% |
-10.19% |
-6.88% |
-1.83% |
| Avg Days to Max Decline |
11 |
8 |
13 |
12 |
7 |
6 |
7 |
13 |
10 |
4 |
1 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
|
|
|
| Action |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
17 |
19 |
19 |
25 |
24 |
26 |
30 |
22 |
30 |
25 |
23 |
| Penetrated Low |
16 |
14 |
17 |
24 |
21 |
22 |
23 |
16 |
24 |
19 |
16 |
| Scenario Percentage |
94% |
74% |
89% |
96% |
88% |
85% |
77% |
73% |
80% |
76% |
70% |
| Avg Max Decline |
4.74% |
4.49% |
6.33% |
7.83% |
9.46% |
10.62% |
7.17% |
7.07% |
7.42% |
7.37% |
11.98% |
| Max Decline |
17.02% |
10.02% |
12.32% |
18.00% |
24.31% |
17.55% |
20.08% |
36.97% |
30.77% |
27.77% |
62.48% |
| Avg Days To Max Decline |
17 |
17 |
15 |
20 |
23 |
18 |
18 |
15 |
21 |
10 |
9 |
| Avg Max Increase |
-1.68% |
-2.40% |
-2.69% |
-2.76% |
-5.29% |
-2.45% |
-2.21% |
-1.20% |
-2.29% |
-1.99% |
-1.15% |
| Max Increase |
-5.97% |
-7.38% |
-7.08% |
-18.24% |
-27.57% |
-17.80% |
-11.02% |
-4.37% |
-5.13% |
-4.98% |
-3.20% |
| Avg Days to Max Increase |
11 |
11 |
11 |
11 |
12 |
4 |
10 |
6 |
10 |
5 |
2 |
| 2008 Contract Condition |
|
|
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| High |
540.25 |
568.00 |
602.00 |
637.50 |
655.00 |
799.25 |
782.50 |
625.00 |
574.50 |
496.50 |
421.50 |
| Low |
473.50 |
513.00 |
513.25 |
573.50 |
599.75 |
625.00 |
563.00 |
505.00 |
485.50 |
368.75 |
337.50 |
| Close/Last |
515.75 |
564.75 |
581.00 |
628.25 |
626.50 |
757.00 |
607.50 |
585.00 |
487.50 |
401.50 |
349.50 |
|
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