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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
29 |
35 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
| Closed Higher |
15 |
19 |
14 |
15 |
13 |
21 |
16 |
23 |
12 |
22 |
20 |
| Exceeded High |
12 |
14 |
9 |
7 |
10 |
16 |
12 |
14 |
9 |
16 |
12 |
| Scenario Percentage |
80% |
74% |
64% |
47% |
77% |
76% |
75% |
61% |
75% |
73% |
60% |
| Avg Max Increase |
8.67% |
13.29% |
14.53% |
9.83% |
10.29% |
10.58% |
11.79% |
9.85% |
11.09% |
8.16% |
6.61% |
| Max Increase |
25.83% |
38.26% |
28.46% |
17.51% |
28.55% |
29.71% |
34.95% |
21.46% |
21.34% |
39.17% |
20.90% |
| Avg Days To Max Increase |
15 |
16 |
15 |
15 |
18 |
19 |
17 |
20 |
16 |
11 |
9 |
| Avg Max Decline |
-0.71% |
-1.70% |
-3.71% |
-2.45% |
-2.24% |
-2.87% |
-1.67% |
-3.13% |
-2.23% |
-2.24% |
-0.21% |
| Max Decline |
-5.19% |
-9.99% |
-10.43% |
-7.24% |
-9.57% |
-11.59% |
-11.94% |
-9.35% |
-7.51% |
-10.16% |
-1.67% |
| Avg Days to Max Decline |
11 |
12 |
5 |
7 |
8 |
15 |
5 |
13 |
9 |
6 |
2 |
| 2005 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
|
| Action |
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
29 |
35 |
37 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
| Closed Lower |
14 |
15 |
22 |
22 |
25 |
17 |
21 |
15 |
26 |
16 |
17 |
| Penetrated Low |
11 |
11 |
21 |
15 |
19 |
15 |
16 |
12 |
17 |
10 |
8 |
| Scenario Percentage |
79% |
73% |
95% |
68% |
76% |
88% |
76% |
80% |
65% |
63% |
47% |
| Avg Max Decline |
7.10% |
11.77% |
10.38% |
8.15% |
7.32% |
7.37% |
8.42% |
9.76% |
7.88% |
8.14% |
13.59% |
| Max Decline |
17.23% |
19.76% |
24.45% |
23.27% |
16.88% |
15.92% |
18.21% |
20.11% |
12.50% |
14.12% |
41.26% |
| Avg Days To Max Decline |
23 |
19 |
18 |
11 |
20 |
17 |
20 |
20 |
16 |
13 |
8 |
| Avg Max Increase |
-2.11% |
-2.86% |
-2.54% |
-2.02% |
-3.52% |
-1.93% |
-4.00% |
-1.58% |
-3.45% |
-3.20% |
-2.37% |
| Max Increase |
-5.12% |
-13.40% |
-12.01% |
-4.73% |
-11.67% |
-9.46% |
-12.38% |
-7.29% |
-10.04% |
-11.22% |
-7.38% |
| Avg Days to Max Increase |
14 |
12 |
10 |
4 |
10 |
14 |
14 |
7 |
11 |
10 |
4 |
| 2005 Contract Condition |
Yes |
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
Yes |
| Action |
Yes |
No |
|
No |
|
|
Yes |
No |
|
Yes |
Not Yet |
| High |
99.50 |
86.60 |
91.45 |
91.40 |
92.20 |
103.50 |
102.40 |
97.30 |
103.50 |
108.40 |
98.90 |
| Low |
87.45 |
77.70 |
84.00 |
82.10 |
85.00 |
91.70 |
92.70 |
91.40 |
93.75 |
96.15 |
85.10 |
| Close/Last |
87.45 |
82.60 |
90.90 |
86.10 |
91.50 |
101.35 |
97.60 |
96.40 |
99.45 |
97.90 |
89.50 |
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