|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Oats(CBOT) as of Dec 31, 2007 |
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 |
26 |
31 |
31 |
32 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
14 |
9 |
11 |
14 |
15 |
17 |
17 |
16 |
15 |
12 |
11 |
| Exceeded High |
9 |
7 |
8 |
10 |
10 |
15 |
10 |
10 |
8 |
7 |
7 |
| Scenario Percentage |
64% |
78% |
73% |
71% |
67% |
88% |
59% |
63% |
53% |
58% |
64% |
| Avg Max Increase |
19.95% |
25.34% |
14.00% |
10.60% |
10.97% |
12.72% |
13.75% |
6.54% |
10.00% |
11.81% |
4.78% |
| Max Increase |
106.02% |
87.15% |
23.03% |
22.90% |
29.72% |
38.56% |
22.99% |
13.66% |
31.16% |
23.17% |
12.02% |
| Avg Days To Max Increase |
16 |
19 |
16 |
18 |
15 |
16 |
14 |
7 |
12 |
8 |
9 |
| Avg Max Decline |
-1.30% |
-3.45% |
0.07% |
-4.59% |
-1.79% |
-2.34% |
-0.99% |
-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 |
9 |
6 |
6 |
5 |
7 |
6 |
8 |
3 |
6 |
4 |
3 |
| 2008 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
|
|
| Action |
|
Yes |
|
Yes |
|
Yes |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
26 |
31 |
31 |
32 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
11 |
22 |
20 |
18 |
17 |
15 |
16 |
17 |
17 |
20 |
21 |
| Penetrated Low |
11 |
20 |
16 |
12 |
11 |
11 |
10 |
12 |
11 |
15 |
11 |
| Scenario Percentage |
100% |
91% |
80% |
67% |
65% |
73% |
63% |
71% |
65% |
75% |
52% |
| Avg Max Decline |
8.37% |
11.73% |
10.85% |
8.85% |
6.55% |
7.02% |
8.57% |
8.87% |
8.24% |
9.64% |
16.98% |
| Max Decline |
15.94% |
26.25% |
24.78% |
20.59% |
14.57% |
17.97% |
16.67% |
21.81% |
16.79% |
21.25% |
42.09% |
| Avg Days To Max Decline |
19 |
22 |
18 |
22 |
18 |
23 |
15 |
18 |
21 |
15 |
16 |
| Avg Max Increase |
-3.34% |
-3.45% |
-2.45% |
-3.61% |
-3.88% |
-5.42% |
-3.46% |
-3.15% |
-4.17% |
-2.32% |
-3.00% |
| Max Increase |
-7.84% |
-15.38% |
-10.14% |
-10.30% |
-9.78% |
-11.80% |
-8.44% |
-7.22% |
-8.22% |
-6.30% |
-10.67% |
| Avg Days to Max Increase |
15 |
9 |
6 |
9 |
9 |
15 |
10 |
16 |
14 |
4 |
3 |
| 2008 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
|
Yes |
|
|
|
| Action |
Yes |
|
Yes |
|
No |
|
|
Yes |
|
|
|
| High |
266.50 |
280.00 |
298.00 |
283.00 |
281.25 |
299.00 |
301.25 |
311.00 |
313.50 |
|
|
| Low |
254.75 |
254.00 |
273.00 |
252.00 |
261.50 |
269.00 |
281.00 |
278.00 |
275.00 |
|
|
| Close/Last |
259.00 |
280.00 |
273.00 |
277.00 |
265.75 |
299.00 |
301.00 |
283.00 |
306.75 |
|
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