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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of May 16, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 22 27 27 29 29 29 29 29 29 29 29
Closed Higher 8 12 13 16 15 14 12 9 11 13 15
Exceeded High 5 9 8 15 8 6 7 7 7 13 10
Scenario Percentage 63% 75% 62% 94% 53% 43% 58% 78% 64% 100% 67%
Avg Max Increase 15.72% 9.54% 9.81% 9.17% 10.69% 7.02% 8.62% 9.02% 11.40% 9.45% 7.90%
Max Increase 24.52% 18.48% 21.88% 36.29% 20.50% 14.90% 33.09% 18.85% 27.04% 23.85% 13.64%
Avg Days To Max Increase 15 16 18 16 19 6 9 16 16 11 7
Avg Max Decline -0.77% -4.07% -2.31% -2.38% -0.85% -2.06% -1.12% -1.26% -3.55% -2.65% -1.79%
Max Decline -2.19% -7.41% -6.18% -10.00% -3.61% -6.85% -2.57% -3.81% -8.58% -8.53% -6.88%
Avg Days to Max Decline 7 6 12 8 8 4 4 4 24 6 2
2003 Contract Condition Yes Yes Yes Yes   Yes   Yes Yes    
Action Yes Yes Yes Yes   Yes   Yes No    
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 22 27 27 29 29 29 29 29 29 29 29
Closed Lower 14 15 14 13 13 14 17 19 18 15 14
Penetrated Low 12 10 8 10 10 11 10 17 13 10 8
Scenario Percentage 86% 67% 57% 77% 77% 79% 59% 89% 72% 67% 57%
Avg Max Decline 9.25% 8.20% 6.83% 7.60% 8.39% 8.67% 8.71% 9.21% 10.23% 11.99% 15.15%
Max Decline 22.98% 18.10% 13.54% 16.89% 17.25% 23.83% 19.28% 17.29% 21.46% 25.88% 27.00%
Avg Days To Max Decline 14 18 19 23 16 18 23 18 19 18 19
Avg Max Increase -1.62% -3.08% -3.58% -4.18% -3.08% -2.11% -3.57% -2.52% -2.07% -3.16% -6.13%
Max Increase -9.75% -9.55% -9.17% -11.72% -7.89% -6.10% -8.54% -9.60% -4.93% -11.06% -16.94%
Avg Days to Max Increase 4 10 8 11 9 14 12 5 7 8 6
2003 Contract Condition         Yes   Yes     Yes Yes
Action         Yes   No     Yes Yes
High 164.00 180.50 183.00 202.00 203.50 198.50 202.00 209.50 210.00 207.00 190.50
Low 141.00 160.00 163.50 181.00 184.50 180.00 190.00 193.50 193.50 171.75 156.00
Close/Last 162.00 170.50 179.25 199.00 190.50 198.00 194.50 195.00 203.75 189.25 156.25