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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Jun |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
7 |
9 |
15 |
16 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Higher |
1 |
7 |
6 |
6 |
9 |
10 |
10 |
8 |
6 |
9 |
6 |
| Exceeded High |
1 |
4 |
5 |
5 |
8 |
9 |
7 |
6 |
4 |
6 |
2 |
| Scenario Percentage |
100% |
57% |
83% |
83% |
89% |
90% |
70% |
75% |
67% |
67% |
33% |
| Avg Max Increase |
2.00% |
9.89% |
5.11% |
10.89% |
9.42% |
10.41% |
8.47% |
6.95% |
8.96% |
16.17% |
20.69% |
| Max Increase |
2.00% |
25.44% |
11.44% |
19.24% |
23.52% |
22.62% |
22.02% |
11.61% |
21.03% |
65.96% |
39.29% |
| Avg Days To Max Increase |
14 |
19 |
18 |
22 |
16 |
10 |
12 |
18 |
8 |
13 |
15 |
| Avg Max Decline |
-0.30% |
-2.03% |
-2.45% |
-2.70% |
-0.51% |
-0.67% |
-1.52% |
-3.59% |
-2.45% |
-2.70% |
-1.69% |
| Max Decline |
-0.30% |
-7.69% |
-4.42% |
-6.96% |
-2.50% |
-3.59% |
-5.28% |
-11.83% |
-4.39% |
-9.44% |
-1.79% |
| Avg Days to Max Decline |
4 |
5 |
22 |
8 |
9 |
5 |
4 |
12 |
7 |
3 |
5 |
| 2005 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
7 |
9 |
15 |
16 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Lower |
6 |
2 |
8 |
10 |
10 |
9 |
9 |
10 |
13 |
10 |
13 |
| Penetrated Low |
4 |
2 |
6 |
9 |
8 |
8 |
9 |
9 |
12 |
7 |
8 |
| Scenario Percentage |
67% |
100% |
75% |
90% |
80% |
89% |
100% |
90% |
92% |
70% |
62% |
| Avg Max Decline |
4.74% |
5.04% |
10.12% |
7.95% |
8.13% |
11.60% |
7.52% |
10.32% |
8.99% |
11.25% |
5.86% |
| Max Decline |
7.41% |
8.82% |
19.93% |
16.67% |
21.93% |
28.05% |
17.64% |
23.56% |
25.86% |
24.54% |
20.37% |
| Avg Days To Max Decline |
9 |
21 |
22 |
18 |
23 |
14 |
16 |
15 |
17 |
15 |
12 |
| Avg Max Increase |
0.55% |
-0.11% |
-1.11% |
-1.47% |
-2.40% |
-2.55% |
-3.39% |
-2.97% |
-3.66% |
-1.42% |
-4.25% |
| Max Increase |
0.00% |
-0.23% |
-2.94% |
-6.50% |
-6.00% |
-6.49% |
-11.65% |
-8.42% |
-16.01% |
-4.63% |
-11.75% |
| Avg Days to Max Increase |
2 |
1 |
5 |
12 |
11 |
8 |
23 |
8 |
9 |
2 |
7 |
| 2005 Contract Condition |
|
|
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
| Action |
|
|
|
Yes |
No |
|
|
Yes |
Yes |
|
|
| High |
|
7.00 |
7.25 |
7.40 |
7.05 |
7.58 |
7.75 |
8.00 |
7.81 |
6.82 |
7.05 |
| Low |
|
6.83 |
7.00 |
7.00 |
6.75 |
6.85 |
7.28 |
7.42 |
6.39 |
6.30 |
6.46 |
| Close/Last |
|
7.00 |
7.25 |
7.00 |
6.90 |
7.40 |
7.65 |
7.63 |
6.59 |
6.73 |
6.74 |
|
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