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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Oats(CBOT) as of Sep 30, 2009 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
29 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
35 |
35 |
35 |
| Closed Higher |
11 |
14 |
16 |
21 |
14 |
12 |
15 |
15 |
20 |
13 |
16 |
| Exceeded High |
8 |
10 |
14 |
12 |
11 |
9 |
10 |
10 |
16 |
9 |
7 |
| Scenario Percentage |
73% |
71% |
88% |
57% |
79% |
75% |
67% |
67% |
80% |
69% |
44% |
| Avg Max Increase |
11.73% |
9.55% |
9.40% |
22.01% |
24.28% |
13.67% |
12.06% |
12.45% |
15.06% |
14.47% |
6.18% |
| Max Increase |
32.94% |
30.42% |
24.73% |
124.03% |
100.39% |
22.60% |
25.92% |
40.25% |
35.52% |
27.44% |
19.32% |
| Avg Days To Max Increase |
17 |
17 |
16 |
16 |
17 |
14 |
17 |
18 |
14 |
10 |
9 |
| Avg Max Decline |
-1.82% |
-1.78% |
-1.28% |
-1.26% |
-2.98% |
-1.77% |
-5.68% |
-1.82% |
-2.57% |
-1.78% |
-1.69% |
| Max Decline |
-6.32% |
-5.00% |
-7.08% |
-6.64% |
-9.23% |
-5.03% |
-9.14% |
-4.44% |
-7.59% |
-8.02% |
-5.49% |
| Avg Days to Max Decline |
9 |
9 |
10 |
9 |
4 |
5 |
7 |
11 |
7 |
10 |
2 |
| 2009 Contract Condition |
|
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
|
| Action |
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
29 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
35 |
35 |
35 |
| Closed Lower |
18 |
17 |
16 |
13 |
19 |
22 |
19 |
18 |
15 |
21 |
19 |
| Penetrated Low |
14 |
12 |
9 |
12 |
19 |
18 |
15 |
11 |
14 |
13 |
8 |
| Scenario Percentage |
78% |
71% |
56% |
92% |
100% |
82% |
79% |
61% |
93% |
62% |
42% |
| Avg Max Decline |
6.80% |
7.86% |
9.69% |
8.79% |
12.35% |
12.21% |
10.21% |
10.59% |
10.04% |
9.95% |
15.91% |
| Max Decline |
16.23% |
13.00% |
16.12% |
17.38% |
27.19% |
27.27% |
22.12% |
39.54% |
39.56% |
20.30% |
38.59% |
| Avg Days To Max Decline |
11 |
18 |
20 |
18 |
21 |
19 |
21 |
19 |
21 |
14 |
7 |
| Avg Max Increase |
-1.47% |
-0.80% |
-2.74% |
-3.74% |
-4.28% |
-2.90% |
-4.03% |
-3.69% |
-5.08% |
-3.00% |
-2.92% |
| Max Increase |
-8.55% |
-2.91% |
-7.06% |
-9.00% |
-19.33% |
-10.65% |
-10.28% |
-9.52% |
-13.68% |
-7.99% |
-7.42% |
| Avg Days to Max Increase |
7 |
8 |
17 |
10 |
12 |
5 |
12 |
8 |
12 |
6 |
5 |
| 2009 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
|
|
| Action |
Yes |
No |
|
No |
|
Yes |
No |
|
|
|
|
| High |
273.75 |
249.00 |
235.25 |
233.75 |
278.25 |
285.00 |
246.75 |
238.00 |
238.50 |
|
|
| Low |
245.00 |
202.00 |
214.00 |
210.00 |
219.00 |
216.25 |
201.00 |
205.00 |
202.00 |
|
|
| Close/Last |
249.00 |
225.50 |
226.00 |
225.50 |
270.75 |
236.50 |
212.00 |
225.00 |
233.00 |
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