|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Rough Rice(CBOT) as of Feb 28, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
7 |
13 |
17 |
17 |
19 |
19 |
19 |
20 |
20 |
20 |
20 |
| Closed Higher |
3 |
7 |
4 |
7 |
8 |
10 |
9 |
11 |
6 |
10 |
11 |
| Exceeded High |
2 |
6 |
2 |
6 |
5 |
7 |
7 |
5 |
5 |
7 |
8 |
| Scenario Percentage |
67% |
86% |
50% |
86% |
63% |
70% |
78% |
45% |
83% |
70% |
73% |
| Avg Max Increase |
22.84% |
18.33% |
47.47% |
9.43% |
8.52% |
13.20% |
11.73% |
5.15% |
18.52% |
16.40% |
6.27% |
| Max Increase |
29.20% |
69.00% |
86.56% |
30.43% |
19.09% |
32.30% |
22.36% |
12.50% |
42.59% |
32.42% |
14.15% |
| Avg Days To Max Increase |
13 |
20 |
16 |
11 |
7 |
19 |
14 |
18 |
22 |
11 |
10 |
| Avg Max Decline |
-2.56% |
-2.10% |
-2.26% |
-0.16% |
-1.38% |
-3.06% |
-1.51% |
-1.66% |
-1.18% |
-1.61% |
-2.03% |
| Max Decline |
-2.60% |
-7.28% |
-3.73% |
-1.64% |
-4.09% |
-10.06% |
-5.26% |
-4.19% |
-4.21% |
-4.02% |
-5.31% |
| Avg Days to Max Decline |
12 |
10 |
7 |
6 |
3 |
8 |
5 |
11 |
4 |
7 |
2 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
|
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
|
|
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
7 |
13 |
17 |
17 |
19 |
19 |
19 |
20 |
20 |
20 |
20 |
| Closed Lower |
4 |
6 |
13 |
10 |
11 |
9 |
10 |
9 |
14 |
10 |
8 |
| Penetrated Low |
2 |
5 |
9 |
10 |
9 |
9 |
7 |
8 |
11 |
8 |
5 |
| Scenario Percentage |
50% |
83% |
69% |
100% |
82% |
100% |
70% |
89% |
79% |
80% |
63% |
| Avg Max Decline |
5.86% |
10.09% |
8.19% |
7.38% |
6.24% |
6.40% |
12.89% |
12.18% |
8.47% |
9.65% |
6.73% |
| Max Decline |
6.64% |
20.21% |
15.80% |
16.09% |
10.48% |
11.70% |
22.81% |
19.07% |
19.01% |
35.58% |
15.43% |
| Avg Days To Max Decline |
19 |
18 |
22 |
17 |
15 |
20 |
23 |
19 |
22 |
9 |
7 |
| Avg Max Increase |
-3.69% |
-1.89% |
-2.55% |
-0.97% |
-1.07% |
-1.36% |
-1.89% |
-1.65% |
-3.69% |
-2.73% |
-1.50% |
| Max Increase |
-10.16% |
-5.05% |
-6.62% |
-2.95% |
-6.09% |
-6.32% |
-4.83% |
-6.17% |
-8.21% |
-8.15% |
-2.14% |
| Avg Days to Max Increase |
14 |
12 |
10 |
4 |
6 |
9 |
8 |
8 |
8 |
7 |
2 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
|
Yes |
|
|
|
| Action |
|
Yes |
No |
|
No |
|
|
Yes |
|
|
|
| High |
10.12 |
10.29 |
10.71 |
10.63 |
10.63 |
10.72 |
10.73 |
10.95 |
10.79 |
|
|
| Low |
9.55 |
10.03 |
9.59 |
9.69 |
10.15 |
10.30 |
10.37 |
10.40 |
10.24 |
|
|
| Close/Last |
10.12 |
10.10 |
9.62 |
10.40 |
10.30 |
10.50 |
10.65 |
10.42 |
10.52 |
|
|
|
|
