|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
13 |
16 |
20 |
20 |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Higher |
7 |
6 |
7 |
9 |
6 |
11 |
9 |
12 |
11 |
12 |
7 |
| Exceeded High |
5 |
5 |
4 |
7 |
4 |
10 |
6 |
9 |
9 |
5 |
4 |
| Scenario Percentage |
71% |
83% |
57% |
78% |
67% |
91% |
67% |
75% |
82% |
42% |
57% |
| Avg Max Increase |
4.06% |
5.48% |
6.77% |
17.11% |
26.98% |
14.91% |
8.99% |
12.48% |
12.67% |
10.17% |
9.12% |
| Max Increase |
8.60% |
10.04% |
18.05% |
70.33% |
85.48% |
73.40% |
19.52% |
32.41% |
24.77% |
31.92% |
13.50% |
| Avg Days To Max Increase |
17 |
21 |
9 |
22 |
19 |
10 |
8 |
20 |
16 |
11 |
10 |
| Avg Max Decline |
-2.09% |
-2.82% |
-1.89% |
-3.51% |
-2.31% |
-0.95% |
-1.43% |
-2.98% |
-1.47% |
-0.90% |
-0.41% |
| Max Decline |
-4.66% |
-5.62% |
-3.65% |
-8.48% |
-5.18% |
-3.63% |
-4.03% |
-10.08% |
-6.22% |
-2.26% |
-1.77% |
| Avg Days to Max Decline |
5 |
16 |
10 |
14 |
11 |
8 |
3 |
7 |
6 |
9 |
4 |
| 2008 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
No |
|
Yes |
Yes |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
13 |
16 |
20 |
20 |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Lower |
6 |
9 |
12 |
11 |
15 |
11 |
12 |
10 |
11 |
10 |
15 |
| Penetrated Low |
5 |
6 |
10 |
9 |
9 |
10 |
9 |
10 |
9 |
9 |
7 |
| Scenario Percentage |
83% |
67% |
83% |
82% |
60% |
91% |
75% |
100% |
82% |
90% |
47% |
| Avg Max Decline |
8.58% |
9.35% |
8.40% |
9.34% |
8.97% |
8.03% |
6.70% |
6.89% |
11.29% |
10.17% |
11.00% |
| 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 |
14 |
15 |
18 |
22 |
22 |
17 |
16 |
22 |
24 |
15 |
9 |
| Avg Max Increase |
-0.58% |
-2.16% |
-2.12% |
-4.08% |
-2.85% |
-1.67% |
-1.87% |
-1.96% |
-3.48% |
-1.91% |
-1.63% |
| Max Increase |
-3.24% |
-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 |
15 |
11 |
8 |
11 |
9 |
4 |
6 |
9 |
10 |
12 |
5 |
| 2008 Contract Condition |
Yes |
|
|
Yes |
|
|
|
|
|
|
|
| Action |
Yes |
|
|
No |
|
|
|
|
|
|
|
| High |
11.71 |
11.80 |
11.93 |
11.52 |
11.65 |
12.30 |
12.55 |
13.66 |
14.05 |
14.84 |
18.00 |
| Low |
11.42 |
11.30 |
11.33 |
11.10 |
11.23 |
11.69 |
12.06 |
12.42 |
13.19 |
13.90 |
14.83 |
| Close/Last |
11.43 |
11.43 |
11.54 |
11.35 |
11.65 |
12.30 |
12.48 |
13.22 |
13.87 |
14.82 |
18.00 |
|
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