|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Rough Rice(CBOT) as of Jun 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
7 |
10 |
16 |
17 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
| Closed Higher |
1 |
8 |
7 |
7 |
9 |
11 |
10 |
9 |
7 |
9 |
6 |
| Exceeded High |
1 |
5 |
6 |
6 |
8 |
10 |
7 |
7 |
5 |
6 |
2 |
| Scenario Percentage |
100% |
63% |
86% |
86% |
89% |
91% |
70% |
78% |
71% |
67% |
33% |
| Avg Max Increase |
2.00% |
9.68% |
5.14% |
9.22% |
9.42% |
9.87% |
8.47% |
6.14% |
8.00% |
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 |
22 |
16 |
19 |
16 |
12 |
12 |
16 |
10 |
13 |
15 |
| Avg Max Decline |
-0.30% |
-1.89% |
-2.05% |
-2.45% |
-0.51% |
-1.04% |
-1.52% |
-3.95% |
-2.83% |
-2.70% |
-1.69% |
| Max Decline |
-0.30% |
-7.69% |
-4.42% |
-6.96% |
-2.50% |
-4.31% |
-5.28% |
-11.83% |
-4.39% |
-9.44% |
-1.79% |
| Avg Days to Max Decline |
4 |
5 |
22 |
7 |
9 |
8 |
4 |
12 |
13 |
3 |
5 |
| 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
7 |
10 |
16 |
17 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
| Closed Lower |
6 |
2 |
8 |
10 |
11 |
9 |
10 |
10 |
13 |
11 |
14 |
| Penetrated Low |
4 |
2 |
6 |
9 |
9 |
8 |
10 |
9 |
12 |
8 |
8 |
| Scenario Percentage |
67% |
100% |
75% |
90% |
82% |
89% |
100% |
90% |
92% |
73% |
57% |
| Avg Max Decline |
4.74% |
5.04% |
10.12% |
7.95% |
7.64% |
11.60% |
6.96% |
10.32% |
8.99% |
10.76% |
5.74% |
| Max Decline |
7.41% |
8.82% |
19.93% |
16.67% |
21.93% |
28.05% |
17.64% |
23.56% |
25.86% |
23.73% |
20.37% |
| Avg Days To Max Decline |
9 |
21 |
22 |
18 |
23 |
14 |
15 |
15 |
17 |
16 |
12 |
| Avg Max Increase |
0.55% |
-0.11% |
-1.11% |
-1.47% |
-2.33% |
-2.55% |
-3.09% |
-2.97% |
-3.66% |
-2.15% |
-3.78% |
| Max Increase |
0.00% |
-0.23% |
-2.94% |
-6.50% |
-6.00% |
-6.49% |
-11.65% |
-8.42% |
-16.01% |
-7.27% |
-11.75% |
| Avg Days to Max Increase |
2 |
1 |
5 |
12 |
11 |
8 |
20 |
8 |
9 |
3 |
7 |
| 2007 Contract Condition |
Yes |
|
|
|
|
Yes |
Yes |
Yes |
|
|
|
| Action |
No |
|
|
|
|
No |
Yes |
Yes |
|
|
|
| High |
10.33 |
10.30 |
10.45 |
10.75 |
11.15 |
11.38 |
10.95 |
11.08 |
11.30 |
|
|
| Low |
10.10 |
10.16 |
10.25 |
10.38 |
10.63 |
10.35 |
10.53 |
10.46 |
10.42 |
|
|
| Close/Last |
10.25 |
10.27 |
10.44 |
10.67 |
11.04 |
10.74 |
10.63 |
10.61 |
10.68 |
|
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