|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
12 |
18 |
19 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Higher |
2 |
10 |
9 |
9 |
11 |
12 |
11 |
9 |
9 |
9 |
8 |
| Exceeded High |
2 |
7 |
8 |
8 |
10 |
11 |
7 |
7 |
5 |
6 |
4 |
| Scenario Percentage |
100% |
70% |
89% |
89% |
91% |
92% |
64% |
78% |
56% |
67% |
50% |
| Avg Max Increase |
6.56% |
9.21% |
7.60% |
10.64% |
11.25% |
11.43% |
8.47% |
6.14% |
8.00% |
16.17% |
11.69% |
| Max Increase |
11.11% |
25.44% |
23.19% |
23.16% |
34.06% |
26.96% |
22.02% |
11.61% |
21.03% |
65.96% |
39.29% |
| Avg Days To Max Increase |
22 |
22 |
18 |
20 |
16 |
12 |
12 |
16 |
10 |
13 |
12 |
| Avg Max Decline |
-0.51% |
-1.38% |
-1.60% |
-1.89% |
-0.80% |
-1.13% |
-1.52% |
-3.95% |
-2.83% |
-2.70% |
-1.88% |
| Max Decline |
-0.72% |
-7.69% |
-4.42% |
-6.96% |
-4.59% |
-4.31% |
-5.28% |
-11.83% |
-4.39% |
-9.44% |
-3.97% |
| Avg Days to Max Decline |
2 |
4 |
17 |
5 |
9 |
8 |
4 |
12 |
13 |
3 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
No |
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
12 |
18 |
19 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Lower |
7 |
2 |
8 |
10 |
11 |
10 |
11 |
12 |
13 |
13 |
14 |
| Penetrated Low |
4 |
2 |
6 |
9 |
9 |
8 |
11 |
11 |
12 |
9 |
8 |
| Scenario Percentage |
57% |
100% |
75% |
90% |
82% |
80% |
100% |
92% |
92% |
69% |
57% |
| Avg Max Decline |
4.74% |
5.04% |
10.12% |
7.95% |
7.64% |
11.60% |
6.51% |
9.84% |
8.99% |
10.03% |
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 |
14 |
17 |
17 |
15 |
12 |
| Avg Max Increase |
0.55% |
-0.11% |
-1.11% |
-1.47% |
-2.33% |
-2.55% |
-3.19% |
-3.66% |
-3.66% |
-1.93% |
-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 |
19 |
9 |
9 |
3 |
7 |
| 2008 Contract Condition |
|
|
|
|
|
|
|
Yes |
|
Yes |
|
| Action |
|
|
|
|
|
|
|
Yes |
|
Yes |
|
| High |
12.42 |
13.34 |
13.80 |
14.77 |
17.16 |
18.19 |
22.79 |
21.30 |
19.80 |
18.90 |
18.90 |
| Low |
11.90 |
12.33 |
13.26 |
13.81 |
14.76 |
16.22 |
17.58 |
17.06 |
18.08 |
16.50 |
15.88 |
| Close/Last |
12.42 |
13.26 |
13.80 |
14.77 |
17.16 |
17.95 |
19.69 |
18.50 |
18.97 |
16.58 |
18.90 |
|
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