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MRCI's ScenarioSM Study
ScenarioSM Study for September Oats(CBOT) as of Jun 30, 2005
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 20 26 27 30 30 30 30 30 30 30 30
Closed Higher 10 12 12 11 12 13 19 13 10 12 14
Exceeded High 6 8 7 9 7 11 10 8 7 9 8
Scenario Percentage 60% 67% 58% 82% 58% 85% 53% 62% 70% 75% 57%
Avg Max Increase 6.15% 5.68% 11.45% 7.75% 12.59% 10.22% 25.44% 27.98% 13.60% 11.36% 7.34%
Max Increase 10.00% 11.80% 35.19% 21.47% 30.95% 24.88% 134.52% 111.54% 22.22% 19.21% 13.98%
Avg Days To Max Increase 14 13 15 16 17 14 14 20 13 10 9
Avg Max Decline -2.65% -1.39% -0.57% -1.86% -2.43% -0.91% -1.16% -5.01% -2.87% -5.22% -0.97%
Max Decline -9.91% -5.49% -1.37% -4.29% -10.26% -6.44% -6.68% -12.38% -10.46% -11.39% -2.96%
Avg Days to Max Decline 9 6 3 10 6 7 6 4 6 6 2
2005 Contract Condition   Yes     Yes       Yes    
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 20 26 27 30 30 30 30 30 30 30 30
Closed Lower 10 14 14 19 17 17 11 17 20 18 16
Penetrated Low 8 11 10 15 12 11 10 17 15 11 3
Scenario Percentage 80% 79% 71% 79% 71% 65% 91% 100% 75% 61% 19%
Avg Max Decline 4.81% 6.94% 7.04% 8.13% 9.46% 9.93% 10.47% 13.28% 14.61% 9.91% 21.01%
Max Decline 11.75% 12.68% 15.51% 16.55% 15.31% 18.40% 19.38% 28.78% 30.34% 22.01% 30.85%
Avg Days To Max Decline 12 20 21 18 20 17 21 20 18 17 9
Avg Max Increase -2.97% -1.35% -2.33% -1.89% -1.08% -2.52% -5.46% -3.67% -2.96% -2.75% -6.50%
Max Increase -12.59% -4.82% -4.22% -8.70% -3.24% -7.55% -11.79% -12.53% -11.37% -10.27% -17.46%
Avg Days to Max Increase 11 8 9 5 11 11 12 9 5 6 4
2005 Contract Condition     Yes Yes   Yes Yes Yes      
Action     Yes Yes   Yes Yes Not Yet      
High 159.00 161.00 164.00 152.00 150.00 156.00 153.75 143.75 161.50    
Low 159.00 159.00 152.00 147.00 144.00 146.00 146.00 136.50 142.25    
Close/Last 159.00 161.00 152.00 147.00 150.00 149.25 146.00 143.25 156.00