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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Rough Rice(CBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
6 |
12 |
13 |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Higher |
3 |
5 |
5 |
9 |
8 |
8 |
4 |
8 |
9 |
9 |
5 |
| Exceeded High |
1 |
4 |
4 |
5 |
6 |
4 |
4 |
7 |
7 |
7 |
4 |
| Scenario Percentage |
33% |
80% |
80% |
56% |
75% |
50% |
100% |
88% |
78% |
78% |
80% |
| Avg Max Increase |
8.45% |
4.42% |
5.41% |
10.54% |
9.62% |
5.43% |
18.71% |
15.14% |
11.62% |
8.96% |
4.64% |
| Max Increase |
8.45% |
6.99% |
12.21% |
17.80% |
14.36% |
12.92% |
40.40% |
30.64% |
24.53% |
22.37% |
9.55% |
| Avg Days To Max Increase |
13 |
7 |
9 |
18 |
16 |
18 |
21 |
17 |
10 |
11 |
16 |
| Avg Max Decline |
-2.86% |
-0.11% |
-1.27% |
-0.75% |
-3.22% |
-1.51% |
-1.32% |
-1.91% |
-2.95% |
-0.56% |
-0.69% |
| Max Decline |
-2.86% |
-1.35% |
-5.11% |
-1.57% |
-11.53% |
-2.98% |
-3.95% |
-5.52% |
-6.82% |
-3.76% |
-1.80% |
| Avg Days to Max Decline |
12 |
8 |
10 |
5 |
11 |
12 |
5 |
10 |
4 |
4 |
2 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
No |
|
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
6 |
12 |
13 |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Lower |
3 |
7 |
8 |
7 |
9 |
9 |
13 |
9 |
8 |
8 |
12 |
| Penetrated Low |
2 |
7 |
6 |
7 |
7 |
8 |
10 |
8 |
8 |
7 |
6 |
| Scenario Percentage |
67% |
100% |
75% |
100% |
78% |
89% |
77% |
89% |
100% |
88% |
50% |
| Avg Max Decline |
11.39% |
6.44% |
5.97% |
5.91% |
12.59% |
11.76% |
8.83% |
10.78% |
8.71% |
8.87% |
13.43% |
| Max Decline |
12.38% |
12.27% |
10.39% |
11.08% |
22.56% |
18.76% |
19.56% |
30.58% |
21.10% |
16.94% |
47.32% |
| Avg Days To Max Decline |
26 |
14 |
11 |
19 |
23 |
16 |
22 |
14 |
12 |
11 |
16 |
| Avg Max Increase |
-1.08% |
-0.52% |
-0.96% |
-1.57% |
-1.86% |
-1.39% |
-3.41% |
-2.73% |
-5.78% |
-3.18% |
-4.38% |
| Max Increase |
-2.36% |
-1.84% |
-4.75% |
-6.55% |
-5.08% |
-5.96% |
-7.38% |
-7.47% |
-27.43% |
-11.68% |
-7.69% |
| Avg Days to Max Increase |
4 |
7 |
8 |
11 |
8 |
10 |
8 |
8 |
21 |
7 |
5 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
|
Yes |
Yes |
|
Yes |
Yes |
No |
|
|
Yes |
Yes |
| High |
8.65 |
8.54 |
8.00 |
8.08 |
8.19 |
7.65 |
7.15 |
7.42 |
7.68 |
7.90 |
7.55 |
| Low |
8.04 |
7.74 |
7.43 |
7.37 |
7.71 |
6.93 |
6.56 |
6.70 |
7.03 |
7.16 |
6.30 |
| Close/Last |
8.65 |
7.87 |
7.56 |
8.08 |
7.72 |
7.05 |
7.00 |
7.30 |
7.59 |
7.35 |
6.40 |
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