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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(NYBOT) as of Mar 19, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 40 42 42 42 42 42 42 42 42 42 42
Closed Higher 15 22 19 17 18 20 18 29 23 21 18
Exceeded High 13 17 16 14 14 18 17 22 18 16 7
Scenario Percentage 87% 77% 84% 82% 78% 90% 94% 76% 78% 76% 39%
Avg Max Increase 21.25% 20.53% 15.20% 15.31% 13.13% 19.77% 22.76% 17.88% 23.58% 18.84% 18.52%
Max Increase 113.69% 60.55% 53.74% 65.38% 45.05% 97.05% 102.45% 70.10% 90.79% 127.09% 51.19%
Avg Days To Max Increase 20 19 18 20 18 20 17 14 17 16 13
Avg Max Decline -3.33% -1.74% -2.54% -3.58% -4.03% -4.17% -2.91% -2.98% -4.17% -3.54% -2.26%
Max Decline -11.88% -8.33% -13.62% -15.38% -13.02% -12.93% -8.44% -10.60% -12.69% -8.18% -7.13%
Avg Days to Max Decline 9 3 6 7 9 11 7 7 12 7 2
2003 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes Yes
Action     Yes   Yes Yes Yes Yes Yes Yes Yes
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 40 42 42 42 42 42 42 42 42 42 42
Closed Lower 24 19 23 24 24 22 24 13 18 20 24
Penetrated Low 17 16 20 21 18 16 16 10 14 16 20
Scenario Percentage 71% 84% 87% 88% 75% 73% 67% 77% 78% 80% 83%
Avg Max Decline 15.16% 14.97% 14.00% 16.34% 15.48% 12.72% 10.28% 12.59% 13.86% 16.48% 23.62%
Max Decline 30.90% 34.91% 24.89% 35.14% 36.32% 31.31% 19.78% 32.02% 30.22% 39.09% 79.94%
Avg Days To Max Decline 20 16 17 21 19 14 15 19 15 17 13
Avg Max Increase -2.15% -3.38% -2.86% -4.11% -3.85% -2.62% -4.97% -3.86% -2.88% -4.27% -4.34%
Max Increase -9.30% -9.54% -8.11% -12.28% -10.79% -7.77% -20.63% -10.84% -8.65% -16.35% -11.53%
Avg Days to Max Increase 5 6 6 10 9 7 9 10 3 7 7
2003 Contract Condition Yes Yes   Yes              
Action Yes Yes   No              
High 6.07 5.92 6.05 5.99 6.20 6.20 6.84 7.39 7.77 7.89 8.85
Low 5.61 5.29 5.40 5.20 5.29 5.67 5.93 6.38 6.58 7.15 7.38
Close/Last 5.65 5.56 6.02 5.26 5.85 5.96 6.44 7.36 7.41 7.61 8.64