|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Rough Rice(CBOT) as of Nov 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
11 |
14 |
18 |
18 |
19 |
20 |
20 |
20 |
20 |
20 |
20 |
| Closed Higher |
7 |
5 |
5 |
9 |
5 |
9 |
8 |
10 |
9 |
11 |
5 |
| Exceeded High |
5 |
4 |
3 |
7 |
3 |
8 |
5 |
7 |
7 |
4 |
3 |
| Scenario Percentage |
71% |
80% |
60% |
78% |
60% |
89% |
63% |
70% |
78% |
36% |
60% |
| Avg Max Increase |
4.06% |
6.11% |
7.12% |
17.11% |
33.40% |
16.79% |
8.28% |
13.64% |
12.31% |
4.74% |
7.82% |
| Max Increase |
8.60% |
10.04% |
18.05% |
70.33% |
85.48% |
73.40% |
19.52% |
32.41% |
22.94% |
10.38% |
13.50% |
| Avg Days To Max Increase |
17 |
23 |
7 |
22 |
15 |
10 |
4 |
19 |
15 |
11 |
9 |
| Avg Max Decline |
-2.09% |
-2.51% |
-2.08% |
-3.51% |
-3.20% |
-0.49% |
-1.61% |
-3.54% |
-1.82% |
-1.14% |
-0.18% |
| Max Decline |
-4.66% |
-5.62% |
-3.65% |
-8.48% |
-5.18% |
-1.94% |
-4.03% |
-10.08% |
-6.22% |
-2.26% |
-1.77% |
| Avg Days to Max Decline |
5 |
17 |
4 |
14 |
10 |
4 |
3 |
8 |
5 |
11 |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
11 |
14 |
18 |
18 |
19 |
20 |
20 |
20 |
20 |
20 |
20 |
| Closed Lower |
4 |
9 |
12 |
9 |
14 |
11 |
11 |
10 |
11 |
9 |
15 |
| Penetrated Low |
4 |
6 |
10 |
8 |
9 |
10 |
9 |
10 |
9 |
8 |
8 |
| Scenario Percentage |
100% |
67% |
83% |
89% |
64% |
91% |
82% |
100% |
82% |
89% |
53% |
| Avg Max Decline |
10.43% |
9.35% |
8.40% |
9.74% |
8.97% |
8.03% |
6.70% |
6.89% |
11.29% |
11.38% |
10.15% |
| Max Decline |
16.85% |
20.02% |
21.54% |
22.30% |
16.23% |
15.68% |
11.17% |
12.19% |
24.11% |
19.90% |
36.17% |
| Avg Days To Max Decline |
13 |
15 |
18 |
21 |
22 |
17 |
16 |
22 |
24 |
16 |
10 |
| Avg Max Increase |
0.09% |
-2.16% |
-2.12% |
-3.82% |
-2.85% |
-1.67% |
-1.87% |
-1.96% |
-3.48% |
-1.69% |
-1.92% |
| Max Increase |
-2.60% |
-6.72% |
-11.61% |
-11.69% |
-6.70% |
-3.80% |
-8.11% |
-6.74% |
-10.15% |
-5.91% |
-6.69% |
| Avg Days to Max Increase |
18 |
11 |
8 |
10 |
9 |
4 |
6 |
9 |
10 |
8 |
6 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
|
|
| Action |
No |
|
|
Yes |
No |
|
Not Yet |
|
|
|
|
| High |
9.50 |
9.88 |
10.01 |
10.11 |
10.52 |
10.43 |
10.48 |
10.58 |
|
|
|
| Low |
9.29 |
9.30 |
9.42 |
9.82 |
9.30 |
9.48 |
9.83 |
10.05 |
|
|
|
| Close/Last |
9.44 |
9.82 |
9.95 |
9.91 |
9.35 |
10.20 |
10.08 |
10.29 |
|
|
|
|
|
