|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
8 |
14 |
15 |
18 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Higher |
4 |
7 |
6 |
11 |
10 |
9 |
6 |
9 |
10 |
9 |
7 |
| Exceeded High |
2 |
5 |
5 |
7 |
8 |
5 |
6 |
8 |
7 |
7 |
5 |
| Scenario Percentage |
50% |
71% |
83% |
64% |
80% |
56% |
100% |
89% |
70% |
78% |
71% |
| Avg Max Increase |
6.99% |
5.87% |
6.90% |
9.91% |
10.57% |
11.02% |
19.52% |
16.20% |
11.62% |
8.96% |
4.65% |
| Max Increase |
8.45% |
11.65% |
12.84% |
17.80% |
24.41% |
33.38% |
40.40% |
30.64% |
24.53% |
22.37% |
9.55% |
| Avg Days To Max Increase |
22 |
10 |
12 |
19 |
17 |
21 |
20 |
18 |
10 |
11 |
16 |
| Avg Max Decline |
-1.39% |
-0.36% |
-1.14% |
-0.71% |
-2.32% |
-1.23% |
-1.18% |
-2.14% |
-2.95% |
-0.56% |
-1.07% |
| Max Decline |
-2.86% |
-1.37% |
-5.11% |
-1.57% |
-11.53% |
-2.98% |
-3.95% |
-5.52% |
-6.82% |
-3.76% |
-2.57% |
| Avg Days to Max Decline |
14 |
7 |
8 |
5 |
10 |
10 |
5 |
9 |
4 |
4 |
3 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
No |
|
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 |
8 |
14 |
15 |
18 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Lower |
4 |
7 |
9 |
7 |
9 |
10 |
13 |
10 |
9 |
10 |
12 |
| Penetrated Low |
2 |
7 |
6 |
7 |
7 |
9 |
10 |
8 |
9 |
8 |
6 |
| Scenario Percentage |
50% |
100% |
67% |
100% |
78% |
90% |
77% |
80% |
100% |
80% |
50% |
| Avg Max Decline |
11.39% |
6.44% |
5.97% |
5.91% |
12.59% |
11.11% |
8.83% |
10.78% |
8.04% |
8.27% |
13.68% |
| 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 |
17 |
22 |
14 |
11 |
11 |
17 |
| Avg Max Increase |
-1.08% |
-0.52% |
-0.96% |
-1.57% |
-1.86% |
-1.69% |
-3.41% |
-2.73% |
-5.62% |
-2.87% |
-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 |
13 |
8 |
8 |
19 |
7 |
5 |
| 2008 Contract Condition |
|
|
|
|
|
|
|
|
|
Yes |
|
| Action |
|
|
|
|
|
|
|
|
|
Not Yet |
|
| High |
12.10 |
12.45 |
12.77 |
13.90 |
14.41 |
15.37 |
18.34 |
20.50 |
24.85 |
23.50 |
20.90 |
| Low |
11.75 |
12.11 |
12.28 |
12.69 |
13.69 |
14.49 |
15.35 |
17.56 |
19.36 |
18.15 |
18.26 |
| Close/Last |
12.10 |
12.45 |
12.77 |
13.69 |
14.34 |
15.37 |
18.34 |
20.11 |
21.78 |
19.10 |
20.21 |
|
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