|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Rough Rice(CBOT) as of Jan 07, 2009 |
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 |
13 |
17 |
20 |
21 |
21 |
21 |
21 |
22 |
22 |
22 |
22 |
| Closed Higher |
6 |
9 |
9 |
9 |
7 |
10 |
7 |
11 |
8 |
11 |
11 |
| Exceeded High |
5 |
7 |
7 |
7 |
5 |
8 |
4 |
10 |
5 |
10 |
9 |
| Scenario Percentage |
83% |
78% |
78% |
78% |
71% |
80% |
57% |
91% |
63% |
91% |
82% |
| Avg Max Increase |
9.98% |
10.69% |
6.18% |
5.92% |
7.21% |
17.27% |
27.57% |
15.24% |
10.43% |
10.86% |
7.84% |
| 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 |
23 |
16 |
14 |
17 |
10 |
21 |
20 |
11 |
9 |
14 |
14 |
| Avg Max Decline |
-1.34% |
0.32% |
-1.81% |
-2.72% |
-1.53% |
-3.88% |
-2.49% |
-1.41% |
-1.37% |
-3.46% |
-0.84% |
| Max Decline |
-4.10% |
-2.35% |
-4.80% |
-6.46% |
-3.49% |
-7.47% |
-5.31% |
-4.52% |
-3.92% |
-9.88% |
-4.72% |
| Avg Days to Max Decline |
11 |
10 |
4 |
13 |
8 |
14 |
9 |
8 |
3 |
8 |
3 |
| 2008 Contract Condition |
Yes |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
Yes |
|
|
|
No |
|
Yes |
Yes |
Yes |
Yes |
Yes |
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 |
13 |
17 |
20 |
21 |
21 |
21 |
21 |
22 |
22 |
22 |
22 |
| Closed Lower |
7 |
8 |
11 |
12 |
14 |
11 |
14 |
11 |
14 |
11 |
11 |
| Penetrated Low |
6 |
7 |
8 |
10 |
12 |
9 |
8 |
10 |
10 |
10 |
5 |
| Scenario Percentage |
86% |
88% |
73% |
83% |
86% |
82% |
57% |
91% |
71% |
91% |
45% |
| Avg Max Decline |
7.75% |
9.56% |
7.31% |
7.84% |
8.44% |
9.96% |
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 |
23 |
15 |
12 |
16 |
17 |
23 |
22 |
15 |
18 |
20 |
9 |
| Avg Max Increase |
-2.63% |
-2.00% |
-0.66% |
-2.10% |
-2.50% |
-4.74% |
-2.96% |
-1.51% |
-3.14% |
-1.71% |
-2.21% |
| Max Increase |
-5.43% |
-6.12% |
-3.40% |
-6.87% |
-13.40% |
-13.33% |
-5.25% |
-3.74% |
-9.69% |
-5.96% |
-4.20% |
| Avg Days to Max Increase |
16 |
8 |
16 |
6 |
9 |
11 |
8 |
3 |
10 |
8 |
4 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
|
|
|
| Action |
|
No |
Yes |
Yes |
|
No |
|
|
|
|
|
| High |
11.50 |
11.81 |
11.46 |
11.55 |
11.69 |
11.25 |
11.40 |
12.09 |
12.25 |
13.37 |
13.65 |
| Low |
10.99 |
10.90 |
11.15 |
11.05 |
11.01 |
10.82 |
10.88 |
11.40 |
11.71 |
12.11 |
12.84 |
| Close/Last |
11.43 |
11.25 |
11.17 |
11.16 |
11.27 |
11.10 |
11.40 |
12.09 |
12.17 |
12.87 |
13.55 |
|
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