|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Oats(CBOT) as of Feb 28, 2007 |
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 |
25 |
30 |
30 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
9 |
14 |
14 |
18 |
16 |
16 |
14 |
12 |
12 |
15 |
16 |
| Exceeded High |
6 |
10 |
9 |
16 |
9 |
7 |
9 |
10 |
8 |
13 |
11 |
| Scenario Percentage |
67% |
71% |
64% |
89% |
56% |
44% |
64% |
83% |
67% |
87% |
69% |
| Avg Max Increase |
15.09% |
8.98% |
9.82% |
9.26% |
11.29% |
7.31% |
8.57% |
9.50% |
11.73% |
9.45% |
7.85% |
| 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 |
17 |
19 |
7 |
9 |
17 |
16 |
11 |
8 |
| Avg Max Decline |
-0.15% |
-4.18% |
-2.29% |
-2.16% |
-0.65% |
-1.92% |
-1.27% |
-2.55% |
-3.78% |
-2.65% |
-1.88% |
| Max Decline |
-2.19% |
-7.41% |
-6.18% |
-10.00% |
-3.61% |
-6.85% |
-4.39% |
-8.72% |
-8.58% |
-8.53% |
-6.88% |
| Avg Days to Max Decline |
6 |
8 |
11 |
7 |
7 |
4 |
4 |
7 |
21 |
6 |
2 |
| 2007 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
|
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
No |
No |
|
|
|
|
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 |
25 |
30 |
30 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
16 |
16 |
16 |
14 |
15 |
15 |
18 |
19 |
20 |
16 |
16 |
| Penetrated Low |
14 |
11 |
9 |
11 |
12 |
11 |
11 |
17 |
15 |
11 |
10 |
| Scenario Percentage |
88% |
69% |
56% |
79% |
80% |
73% |
61% |
89% |
75% |
69% |
63% |
| Avg Max Decline |
9.04% |
7.52% |
6.58% |
7.32% |
7.55% |
8.67% |
8.41% |
9.21% |
10.11% |
11.16% |
15.33% |
| 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 |
13 |
17 |
19 |
24 |
17 |
18 |
23 |
18 |
19 |
18 |
17 |
| Avg Max Increase |
-1.54% |
-2.89% |
-3.96% |
-4.09% |
-3.23% |
-2.11% |
-3.64% |
-2.52% |
-3.02% |
-3.11% |
-4.93% |
| Max Increase |
-9.75% |
-9.55% |
-9.17% |
-11.72% |
-7.89% |
-6.10% |
-8.54% |
-9.60% |
-16.53% |
-11.06% |
-16.94% |
| Avg Days to Max Increase |
4 |
9 |
7 |
14 |
10 |
14 |
14 |
5 |
8 |
9 |
6 |
| 2007 Contract Condition |
|
|
Yes |
|
|
|
|
Yes |
Yes |
|
|
| Action |
|
|
No |
|
|
|
|
Yes |
Not Yet |
|
|
| High |
212.00 |
213.00 |
206.50 |
215.00 |
254.00 |
284.75 |
283.00 |
282.50 |
268.50 |
|
|
| Low |
194.00 |
200.50 |
195.00 |
202.00 |
216.50 |
249.50 |
265.00 |
254.50 |
246.00 |
|
|
| Close/Last |
201.00 |
210.00 |
201.00 |
215.00 |
248.50 |
273.00 |
277.00 |
266.75 |
259.25 |
|
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