|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Rough Rice(CBOT) as of Sep 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
11 |
15 |
18 |
19 |
19 |
19 |
19 |
20 |
20 |
20 |
20 |
| Closed Higher |
5 |
8 |
9 |
8 |
5 |
10 |
6 |
9 |
7 |
9 |
9 |
| Exceeded High |
4 |
6 |
7 |
6 |
4 |
8 |
3 |
8 |
4 |
8 |
7 |
| Scenario Percentage |
80% |
75% |
78% |
75% |
80% |
80% |
50% |
89% |
57% |
89% |
78% |
| Avg Max Increase |
11.64% |
11.74% |
6.18% |
6.58% |
7.58% |
17.27% |
34.27% |
17.27% |
10.00% |
11.46% |
8.68% |
| Max Increase |
21.93% |
18.97% |
17.68% |
11.04% |
19.26% |
71.94% |
87.52% |
76.44% |
21.38% |
28.51% |
20.65% |
| Avg Days To Max Increase |
26 |
14 |
14 |
18 |
8 |
21 |
16 |
10 |
4 |
15 |
15 |
| Avg Max Decline |
-1.72% |
0.77% |
-1.81% |
-2.37% |
-1.46% |
-3.88% |
-3.32% |
-0.81% |
-1.59% |
-4.05% |
-1.17% |
| Max Decline |
-4.10% |
-0.66% |
-4.80% |
-6.46% |
-3.49% |
-7.47% |
-5.31% |
-2.40% |
-3.92% |
-9.88% |
-4.72% |
| Avg Days to Max Decline |
13 |
5 |
4 |
13 |
4 |
14 |
10 |
4 |
4 |
9 |
3 |
| 2007 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 |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
11 |
15 |
18 |
19 |
19 |
19 |
19 |
20 |
20 |
20 |
20 |
| Closed Lower |
6 |
7 |
9 |
11 |
14 |
9 |
13 |
11 |
13 |
11 |
11 |
| Penetrated Low |
5 |
7 |
7 |
9 |
12 |
8 |
8 |
10 |
10 |
10 |
5 |
| Scenario Percentage |
83% |
100% |
78% |
82% |
86% |
89% |
62% |
91% |
77% |
91% |
45% |
| Avg Max Decline |
8.52% |
9.56% |
8.15% |
8.37% |
8.44% |
10.29% |
10.17% |
8.25% |
7.26% |
5.80% |
15.12% |
| Max Decline |
22.37% |
27.09% |
18.97% |
20.73% |
22.74% |
23.43% |
15.87% |
16.28% |
12.15% |
11.85% |
37.48% |
| Avg Days To Max Decline |
24 |
15 |
12 |
16 |
17 |
22 |
22 |
15 |
18 |
20 |
9 |
| Avg Max Increase |
-2.91% |
-2.00% |
-0.27% |
-1.81% |
-2.50% |
-4.51% |
-2.96% |
-1.51% |
-3.14% |
-1.71% |
-2.21% |
| Max Increase |
-5.43% |
-6.12% |
-2.40% |
-6.87% |
-13.40% |
-13.33% |
-5.25% |
-3.74% |
-9.69% |
-5.96% |
-4.20% |
| Avg Days to Max Increase |
17 |
8 |
17 |
5 |
9 |
10 |
8 |
3 |
10 |
8 |
4 |
| 2007 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
|
No |
|
|
Yes |
Not Yet |
|
|
|
|
| High |
9.37 |
9.36 |
9.35 |
9.76 |
9.82 |
9.91 |
10.36 |
10.18 |
10.05 |
|
|
| Low |
9.08 |
8.81 |
9.13 |
9.13 |
9.25 |
9.62 |
9.01 |
9.15 |
9.93 |
|
|
| Close/Last |
9.17 |
9.35 |
9.21 |
9.72 |
9.80 |
9.72 |
9.05 |
9.95 |
9.94 |
|
|
|
|
