|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
9 |
15 |
19 |
19 |
21 |
21 |
21 |
22 |
22 |
22 |
22 |
| Closed Higher |
5 |
7 |
5 |
9 |
9 |
12 |
11 |
12 |
8 |
11 |
12 |
| Exceeded High |
3 |
6 |
3 |
8 |
6 |
9 |
9 |
6 |
7 |
8 |
8 |
| Scenario Percentage |
60% |
86% |
60% |
89% |
67% |
75% |
82% |
50% |
88% |
73% |
67% |
| Avg Max Increase |
17.17% |
18.33% |
33.81% |
8.94% |
9.17% |
12.10% |
12.15% |
9.82% |
19.28% |
17.40% |
6.27% |
| Max Increase |
29.20% |
69.00% |
86.56% |
30.43% |
19.09% |
32.30% |
24.38% |
33.17% |
42.59% |
32.42% |
14.15% |
| Avg Days To Max Increase |
13 |
20 |
21 |
11 |
11 |
19 |
16 |
20 |
21 |
13 |
10 |
| Avg Max Decline |
-2.00% |
-2.10% |
-1.45% |
-0.62% |
-1.23% |
-2.53% |
-1.09% |
-1.30% |
-1.13% |
-1.82% |
-2.03% |
| Max Decline |
-2.60% |
-7.28% |
-3.73% |
-2.40% |
-4.09% |
-10.06% |
-5.26% |
-4.19% |
-4.21% |
-4.02% |
-5.31% |
| Avg Days to Max Decline |
16 |
10 |
10 |
8 |
2 |
7 |
6 |
10 |
4 |
7 |
2 |
| 2008 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
No |
|
Yes |
Yes |
Yes |
Yes |
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 |
9 |
15 |
19 |
19 |
21 |
21 |
21 |
22 |
22 |
22 |
22 |
| Closed Lower |
4 |
8 |
14 |
10 |
12 |
9 |
10 |
10 |
14 |
11 |
9 |
| Penetrated Low |
2 |
6 |
9 |
10 |
9 |
9 |
7 |
9 |
11 |
8 |
5 |
| Scenario Percentage |
50% |
75% |
64% |
100% |
75% |
100% |
70% |
90% |
79% |
73% |
56% |
| Avg Max Decline |
5.86% |
9.25% |
8.19% |
7.38% |
6.24% |
6.40% |
12.89% |
11.56% |
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 |
20 |
22 |
17 |
15 |
20 |
23 |
20 |
22 |
9 |
7 |
| Avg Max Increase |
-3.69% |
-2.58% |
-2.55% |
-0.97% |
-1.07% |
-1.36% |
-1.89% |
-1.93% |
-3.69% |
-2.73% |
-1.50% |
| Max Increase |
-10.16% |
-6.04% |
-6.62% |
-2.95% |
-6.09% |
-6.32% |
-4.83% |
-6.17% |
-8.21% |
-8.15% |
-2.14% |
| Avg Days to Max Increase |
14 |
13 |
10 |
4 |
6 |
9 |
8 |
12 |
8 |
7 |
2 |
| 2008 Contract Condition |
|
Yes |
|
|
|
|
|
|
|
|
|
| Action |
|
No |
|
|
|
|
|
|
|
|
|
| High |
12.18 |
11.77 |
11.88 |
12.40 |
12.65 |
13.87 |
14.22 |
15.15 |
18.10 |
20.18 |
24.50 |
| Low |
11.58 |
11.35 |
11.48 |
11.90 |
12.20 |
12.59 |
13.49 |
14.25 |
15.22 |
17.27 |
19.05 |
| Close/Last |
11.81 |
11.60 |
11.88 |
12.40 |
12.65 |
13.50 |
14.15 |
15.15 |
18.05 |
19.69 |
21.48 |
|
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