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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of Feb 28, 2005
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 23 28 28 30 30 30 30 30 30 30 30
Closed Higher 8 13 13 17 15 14 13 10 12 14 15
Exceeded High 5 10 8 15 8 6 8 8 8 13 9
Scenario Percentage 63% 77% 62% 88% 53% 43% 62% 80% 67% 93% 60%
Avg Max Increase 15.72% 8.98% 9.81% 9.17% 10.69% 7.02% 8.78% 9.94% 11.73% 9.34% 8.19%
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 15 18 16 19 6 10 17 16 12 7
Avg Max Decline -0.77% -4.18% -2.31% -2.38% -0.85% -2.06% -0.88% -1.77% -3.78% -2.65% -1.31%
Max Decline -2.19% -7.41% -6.18% -10.00% -3.61% -6.85% -2.57% -5.35% -8.58% -8.53% -6.88%
Avg Days to Max Decline 7 8 12 8 8 4 4 6 21 6 2
2004 Contract Condition   Yes   Yes     Yes Yes Yes Yes  
Action   Yes   No     Yes Yes Yes Not Yet  
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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 23 28 28 30 30 30 30 30 30 30 30
Closed Lower 15 15 15 13 14 15 17 19 18 15 15
Penetrated Low 13 10 9 10 11 11 10 17 13 10 9
Scenario Percentage 87% 67% 60% 77% 79% 73% 59% 89% 72% 67% 60%
Avg Max Decline 8.91% 8.20% 6.58% 7.60% 7.96% 8.67% 8.71% 9.21% 10.23% 11.97% 16.10%
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 17 18 23 18 19 18 17
Avg Max Increase -1.66% -3.08% -3.96% -4.18% -3.08% -2.11% -3.57% -2.52% -2.07% -3.16% -5.21%
Max Increase -9.75% -9.55% -9.17% -11.72% -7.89% -6.10% -8.54% -9.60% -4.93% -11.06% -14.24%
Avg Days to Max Increase 4 10 7 11 10 14 12 5 7 8 5
2004 Contract Condition Yes   Yes   Yes Yes         Yes
Action Yes   Yes   Yes No         Yes
High 151.00 155.50 157.50 161.00 155.50 152.00 155.00 163.75 162.50 185.00 181.25
Low 142.00 135.00 147.00 147.25 143.50 142.00 143.25 150.25 150.50 153.50 158.00
Close/Last 142.00 155.00 150.50 151.00 147.50 145.00 149.00 159.00 162.25 174.00 173.00