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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 19 27 29 29 30 30 30 30 30 30 30
Closed Higher 6 15 16 14 14 11 11 13 17 15 12
Exceeded High 4 12 10 11 8 9 8 12 10 11 5
Scenario Percentage 67% 80% 63% 79% 57% 82% 73% 92% 59% 73% 42%
Avg Max Increase 7.64% 6.47% 7.31% 5.61% 9.10% 8.39% 11.31% 10.25% 26.23% 22.77% 8.82%
Max Increase 13.29% 15.73% 20.81% 16.97% 35.34% 18.94% 27.06% 22.68% 137.82% 115.34% 15.78%
Avg Days To Max Increase 16 13 16 12 13 12 13 14 12 12 7
Avg Max Decline -2.31% -1.57% -2.09% -1.90% -0.53% -1.84% -1.02% -2.44% -1.64% -2.85% -0.24%
Max Decline -3.91% -5.37% -11.62% -6.45% -2.76% -3.46% -4.33% -7.63% -7.48% -7.86% -1.04%
Avg Days to Max Decline 9 6 11 7 3 9 8 7 2 4 1
2004 Contract Condition   Yes     Yes Yes Yes Yes Yes    
Action   No     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 19 27 29 29 30 30 30 30 30 30 30
Closed Lower 12 12 13 15 16 18 19 17 13 15 18
Penetrated Low 7 8 7 11 10 16 14 9 11 14 11
Scenario Percentage 58% 67% 54% 73% 63% 89% 74% 53% 85% 93% 61%
Avg Max Decline 6.67% 7.45% 8.10% 7.58% 8.21% 8.34% 9.10% 13.79% 11.07% 10.32% 6.84%
Max Decline 12.61% 12.73% 12.98% 12.85% 19.38% 17.80% 17.14% 24.67% 21.82% 29.28% 13.84%
Avg Days To Max Decline 25 19 14 21 19 16 19 23 20 8 9
Avg Max Increase -3.08% -4.75% -2.04% -2.08% -2.30% -1.96% -1.67% -2.88% -5.80% -3.92% -2.86%
Max Increase -7.04% -9.40% -6.10% -5.87% -5.03% -8.43% -3.82% -9.12% -12.22% -11.57% -13.04%
Avg Days to Max Increase 16 15 10 15 9 3 7 16 18 6 3
2004 Contract Condition     Yes Yes           Yes Yes
Action     No No           Yes Yes
High 150.00 160.50 155.50 156.00 155.00 165.25 165.00 185.00 187.00 181.00 161.00
Low 148.25 150.00 147.00 147.00 149.00 154.50 154.00 159.00 163.75 142.00 131.50
Close/Last 150.00 154.00 150.00 149.50 152.00 159.00 165.00 178.50 180.00 147.75 132.75