|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Oats(CBOT) as of Jun 30, 2008 |
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 |
22 |
29 |
30 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
11 |
15 |
13 |
12 |
14 |
14 |
20 |
15 |
12 |
13 |
14 |
| Exceeded High |
7 |
11 |
8 |
10 |
9 |
12 |
11 |
10 |
9 |
8 |
8 |
| Scenario Percentage |
64% |
73% |
62% |
83% |
64% |
86% |
55% |
67% |
75% |
62% |
57% |
| Avg Max Increase |
6.82% |
5.18% |
10.45% |
7.05% |
10.61% |
10.23% |
24.18% |
23.98% |
13.54% |
10.95% |
5.26% |
| Max Increase |
10.82% |
11.80% |
35.19% |
21.47% |
30.95% |
24.88% |
134.52% |
111.54% |
22.22% |
19.21% |
8.28% |
| Avg Days To Max Increase |
15 |
13 |
14 |
17 |
19 |
16 |
15 |
18 |
13 |
10 |
7 |
| Avg Max Decline |
-2.46% |
-0.95% |
-1.08% |
-2.41% |
-2.75% |
-1.42% |
-1.11% |
-4.38% |
-2.08% |
-4.44% |
-0.97% |
| Max Decline |
-9.91% |
-5.49% |
-4.62% |
-7.37% |
-10.26% |
-7.07% |
-6.68% |
-12.38% |
-10.46% |
-8.82% |
-2.96% |
| Avg Days to Max Decline |
8 |
8 |
4 |
12 |
9 |
9 |
5 |
6 |
5 |
6 |
2 |
| 2008 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
|
|
| Action |
|
|
Yes |
Yes |
Yes |
|
Yes |
|
Not Yet |
|
|
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 |
22 |
29 |
30 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
11 |
14 |
16 |
21 |
18 |
19 |
13 |
18 |
21 |
20 |
19 |
| Penetrated Low |
9 |
11 |
11 |
16 |
13 |
12 |
11 |
17 |
16 |
12 |
4 |
| Scenario Percentage |
82% |
79% |
69% |
76% |
72% |
63% |
85% |
94% |
76% |
60% |
21% |
| Avg Max Decline |
4.31% |
6.94% |
6.88% |
7.75% |
9.18% |
9.81% |
10.11% |
13.28% |
14.34% |
9.83% |
23.61% |
| Max Decline |
11.75% |
12.68% |
15.51% |
16.55% |
15.31% |
18.40% |
19.38% |
28.78% |
30.34% |
22.01% |
31.40% |
| Avg Days To Max Decline |
12 |
20 |
20 |
17 |
20 |
17 |
20 |
20 |
19 |
17 |
12 |
| Avg Max Increase |
-3.01% |
-1.35% |
-2.12% |
-1.90% |
-1.34% |
-2.56% |
-4.82% |
-3.67% |
-3.03% |
-2.00% |
-6.43% |
| Max Increase |
-12.59% |
-4.82% |
-4.22% |
-8.70% |
-4.51% |
-7.55% |
-11.79% |
-12.53% |
-11.37% |
-8.21% |
-17.46% |
| Avg Days to Max Increase |
10 |
8 |
9 |
5 |
12 |
11 |
11 |
9 |
5 |
5 |
4 |
| 2008 Contract Condition |
|
|
|
|
|
Yes |
|
Yes |
|
|
|
| Action |
|
|
|
|
|
No |
|
Not Yet |
|
|
|
| High |
|
313.00 |
323.50 |
350.00 |
451.00 |
466.00 |
422.00 |
434.75 |
458.00 |
|
|
| Low |
|
300.00 |
301.00 |
323.50 |
350.00 |
358.00 |
380.50 |
386.50 |
389.00 |
|
|
| Close/Last |
|
309.00 |
323.50 |
350.00 |
451.00 |
390.00 |
398.00 |
394.00 |
456.00 |
|
|
|
|
