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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Oats(CBOT) as of Nov 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
25 |
30 |
30 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
13 |
8 |
10 |
13 |
15 |
16 |
16 |
15 |
14 |
12 |
11 |
| Exceeded High |
8 |
6 |
7 |
9 |
10 |
14 |
9 |
10 |
8 |
7 |
7 |
| Scenario Percentage |
62% |
75% |
70% |
69% |
67% |
88% |
56% |
67% |
57% |
58% |
64% |
| Avg Max Increase |
20.64% |
28.00% |
15.14% |
11.18% |
10.97% |
11.07% |
13.26% |
6.54% |
10.00% |
12.06% |
5.52% |
| Max Increase |
106.02% |
87.15% |
23.03% |
22.90% |
29.72% |
38.56% |
22.99% |
13.66% |
31.16% |
23.85% |
14.74% |
| Avg Days To Max Increase |
16 |
21 |
16 |
16 |
15 |
16 |
14 |
7 |
12 |
9 |
10 |
| Avg Max Decline |
-1.46% |
-3.94% |
-0.31% |
-4.27% |
-1.79% |
-2.51% |
-1.09% |
-1.93% |
-1.42% |
-1.74% |
-0.41% |
| Max Decline |
-7.25% |
-8.45% |
-3.13% |
-8.31% |
-6.45% |
-8.31% |
-3.37% |
-6.60% |
-4.44% |
-6.73% |
-3.48% |
| Avg Days to Max Decline |
11 |
5 |
6 |
4 |
7 |
7 |
8 |
3 |
6 |
4 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Not Yet |
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|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
25 |
30 |
30 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
11 |
22 |
20 |
18 |
16 |
15 |
16 |
17 |
17 |
19 |
20 |
| Penetrated Low |
11 |
20 |
16 |
12 |
11 |
11 |
10 |
12 |
11 |
14 |
10 |
| Scenario Percentage |
100% |
91% |
80% |
67% |
69% |
73% |
63% |
71% |
65% |
74% |
50% |
| Avg Max Decline |
8.37% |
11.73% |
10.85% |
8.85% |
6.55% |
7.02% |
8.57% |
8.87% |
8.24% |
9.78% |
14.47% |
| Max Decline |
15.94% |
26.25% |
24.78% |
20.59% |
14.57% |
17.97% |
16.67% |
21.81% |
16.79% |
21.25% |
37.06% |
| Avg Days To Max Decline |
19 |
22 |
18 |
22 |
18 |
23 |
15 |
18 |
21 |
16 |
16 |
| Avg Max Increase |
-3.34% |
-3.45% |
-2.45% |
-3.61% |
-3.88% |
-5.42% |
-3.46% |
-3.15% |
-4.17% |
-2.38% |
-2.24% |
| Max Increase |
-7.84% |
-15.38% |
-10.14% |
-10.30% |
-9.78% |
-11.80% |
-8.44% |
-7.22% |
-8.22% |
-6.30% |
-8.82% |
| Avg Days to Max Increase |
15 |
9 |
6 |
9 |
9 |
15 |
10 |
16 |
14 |
4 |
2 |
| 2007 Contract Condition |
|
|
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Yes |
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| Action |
|
|
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No |
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|
| High |
183.00 |
202.00 |
209.50 |
211.00 |
204.00 |
216.00 |
252.50 |
289.50 |
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|
| Low |
169.00 |
183.00 |
192.00 |
199.00 |
189.75 |
197.00 |
213.00 |
244.75 |
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| Close/Last |
183.00 |
193.00 |
199.00 |
205.00 |
198.00 |
213.00 |
245.00 |
269.00 |
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