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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Sugar #11(NYBOT) 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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
16 |
24 |
21 |
19 |
21 |
21 |
21 |
30 |
26 |
23 |
21 |
| Exceeded High |
14 |
18 |
18 |
16 |
17 |
19 |
19 |
23 |
21 |
18 |
9 |
| Scenario Percentage |
88% |
75% |
86% |
84% |
81% |
90% |
90% |
77% |
81% |
78% |
43% |
| Avg Max Increase |
20.66% |
19.92% |
15.03% |
14.78% |
12.06% |
19.39% |
21.16% |
18.47% |
23.33% |
18.84% |
15.92% |
| 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 |
21 |
20 |
18 |
20 |
19 |
19 |
17 |
15 |
18 |
16 |
13 |
| Avg Max Decline |
-3.25% |
-1.94% |
-2.42% |
-3.34% |
-3.84% |
-4.08% |
-2.79% |
-2.93% |
-3.75% |
-3.73% |
-3.10% |
| Max Decline |
-11.88% |
-8.33% |
-13.62% |
-15.38% |
-13.02% |
-12.93% |
-8.44% |
-10.60% |
-12.69% |
-8.18% |
-10.07% |
| Avg Days to Max Decline |
8 |
3 |
6 |
7 |
8 |
12 |
7 |
8 |
11 |
7 |
3 |
| 2006 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
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 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
26 |
20 |
24 |
25 |
24 |
24 |
24 |
15 |
18 |
21 |
24 |
| Penetrated Low |
18 |
17 |
21 |
21 |
18 |
17 |
16 |
12 |
14 |
17 |
20 |
| Scenario Percentage |
69% |
85% |
88% |
84% |
75% |
71% |
67% |
80% |
78% |
81% |
83% |
| Avg Max Decline |
14.77% |
14.32% |
13.84% |
16.34% |
15.48% |
12.47% |
10.28% |
11.12% |
13.86% |
15.93% |
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 |
19 |
16 |
18 |
21 |
19 |
14 |
15 |
19 |
15 |
17 |
13 |
| Avg Max Increase |
-2.07% |
-3.20% |
-2.71% |
-4.11% |
-3.85% |
-2.53% |
-4.97% |
-4.45% |
-2.88% |
-4.36% |
-4.34% |
| Max Increase |
-9.30% |
-9.54% |
-8.11% |
-12.28% |
-10.79% |
-7.77% |
-20.63% |
-14.50% |
-8.65% |
-16.35% |
-11.53% |
| Avg Days to Max Increase |
4 |
6 |
6 |
10 |
9 |
9 |
9 |
11 |
3 |
7 |
7 |
| 2006 Contract Condition |
Yes |
Yes |
|
|
|
|
|
|
|
|
|
| Action |
Yes |
Yes |
|
|
|
|
|
|
|
|
|
| High |
9.35 |
9.08 |
9.00 |
9.49 |
9.92 |
10.61 |
11.33 |
11.91 |
12.54 |
14.89 |
18.82 |
| Low |
8.84 |
8.32 |
8.29 |
8.82 |
9.21 |
9.74 |
10.31 |
11.12 |
11.13 |
12.50 |
14.00 |
| Close/Last |
9.01 |
8.63 |
8.96 |
9.40 |
9.81 |
10.57 |
11.23 |
11.33 |
12.43 |
14.68 |
18.02 |
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