|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Orange Juice(NYBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
33 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Higher |
18 |
23 |
20 |
23 |
14 |
15 |
16 |
23 |
16 |
25 |
16 |
| Exceeded High |
16 |
18 |
17 |
15 |
10 |
7 |
14 |
17 |
12 |
14 |
9 |
| Scenario Percentage |
89% |
78% |
85% |
65% |
71% |
47% |
88% |
74% |
75% |
56% |
56% |
| Avg Max Increase |
11.65% |
14.66% |
12.11% |
17.04% |
14.36% |
13.28% |
10.45% |
11.34% |
12.39% |
6.61% |
4.65% |
| Max Increase |
41.65% |
43.02% |
44.17% |
62.51% |
28.36% |
18.19% |
31.32% |
30.56% |
34.97% |
15.09% |
9.96% |
| Avg Days To Max Increase |
18 |
16 |
17 |
16 |
11 |
21 |
17 |
17 |
18 |
12 |
7 |
| Avg Max Decline |
-2.95% |
-0.93% |
-1.15% |
-2.26% |
-3.23% |
-2.47% |
-1.81% |
-3.13% |
-2.19% |
-3.09% |
-0.81% |
| Max Decline |
-17.24% |
-8.20% |
-6.67% |
-10.84% |
-11.07% |
-8.26% |
-9.63% |
-12.66% |
-11.46% |
-9.76% |
-1.69% |
| Avg Days to Max Decline |
12 |
4 |
11 |
12 |
5 |
6 |
10 |
13 |
7 |
9 |
2 |
| 2005 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
Yes |
Yes |
|
|
Yes |
| Action |
Yes |
Yes |
|
|
Yes |
|
Yes |
No |
|
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
33 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Lower |
15 |
15 |
19 |
16 |
25 |
24 |
23 |
16 |
23 |
14 |
23 |
| Penetrated Low |
12 |
11 |
15 |
13 |
23 |
16 |
18 |
13 |
17 |
9 |
14 |
| Scenario Percentage |
80% |
73% |
79% |
81% |
92% |
67% |
78% |
81% |
74% |
64% |
61% |
| Avg Max Decline |
8.63% |
6.72% |
8.29% |
12.31% |
10.51% |
8.88% |
7.79% |
8.40% |
7.85% |
9.54% |
13.10% |
| Max Decline |
23.73% |
18.33% |
19.61% |
21.05% |
24.38% |
23.13% |
17.45% |
15.98% |
20.66% |
19.00% |
33.84% |
| Avg Days To Max Decline |
16 |
15 |
24 |
19 |
19 |
12 |
18 |
18 |
18 |
14 |
9 |
| Avg Max Increase |
-2.54% |
-1.06% |
-3.88% |
-2.70% |
-2.71% |
-2.01% |
-3.53% |
-2.02% |
-4.28% |
-1.74% |
-2.42% |
| Max Increase |
-7.36% |
-3.70% |
-17.43% |
-14.46% |
-12.91% |
-4.36% |
-10.86% |
-9.16% |
-14.22% |
-7.73% |
-10.59% |
| Avg Days to Max Increase |
13 |
5 |
21 |
11 |
10 |
5 |
9 |
12 |
12 |
3 |
-46 |
| 2005 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
|
|
Yes |
Yes |
|
| Action |
|
|
Yes |
No |
|
No |
|
|
Yes |
Not Yet |
|
| High |
86.50 |
96.40 |
98.00 |
85.95 |
91.00 |
90.40 |
91.50 |
102.90 |
102.50 |
96.00 |
101.70 |
| Low |
69.75 |
83.95 |
85.95 |
75.95 |
81.00 |
81.10 |
83.70 |
90.25 |
91.60 |
90.35 |
92.05 |
| Close/Last |
84.50 |
96.40 |
85.95 |
81.00 |
90.40 |
85.30 |
90.00 |
100.80 |
96.60 |
95.15 |
96.35 |
|
|