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| MRCI's ScenarioSM Study |
| ScenarioSM Study for October 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Higher |
25 |
21 |
20 |
18 |
20 |
19 |
20 |
18 |
17 |
18 |
16 |
| Exceeded High |
17 |
16 |
17 |
14 |
17 |
17 |
15 |
16 |
14 |
14 |
13 |
| Scenario Percentage |
68% |
76% |
85% |
78% |
85% |
89% |
75% |
89% |
82% |
78% |
81% |
| Avg Max Increase |
14.06% |
13.69% |
19.22% |
19.91% |
14.08% |
13.24% |
18.72% |
17.69% |
15.45% |
12.45% |
11.03% |
| Max Increase |
56.25% |
58.71% |
121.90% |
60.02% |
43.87% |
67.91% |
55.89% |
65.50% |
67.94% |
44.66% |
24.49% |
| Avg Days To Max Increase |
17 |
17 |
16 |
17 |
14 |
19 |
19 |
19 |
18 |
13 |
15 |
| Avg Max Decline |
-3.14% |
-2.61% |
-2.84% |
-3.27% |
-1.24% |
-4.38% |
-2.65% |
-2.61% |
-5.25% |
-4.34% |
-1.44% |
| Max Decline |
-7.70% |
-7.34% |
-10.66% |
-8.60% |
-14.62% |
-13.99% |
-7.50% |
-16.61% |
-18.81% |
-11.56% |
-6.27% |
| Avg Days to Max Decline |
9 |
11 |
6 |
8 |
6 |
9 |
6 |
7 |
7 |
12 |
4 |
| 2005 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Lower |
16 |
21 |
22 |
24 |
22 |
23 |
22 |
24 |
25 |
23 |
26 |
| Penetrated Low |
13 |
15 |
19 |
18 |
18 |
17 |
18 |
20 |
20 |
16 |
23 |
| Scenario Percentage |
81% |
71% |
86% |
75% |
82% |
74% |
82% |
83% |
80% |
70% |
88% |
| Avg Max Decline |
6.80% |
11.00% |
12.71% |
14.10% |
15.72% |
17.38% |
17.41% |
17.99% |
19.88% |
20.68% |
19.70% |
| Max Decline |
19.66% |
21.43% |
27.76% |
33.23% |
32.50% |
35.94% |
39.06% |
29.16% |
33.71% |
38.65% |
49.26% |
| Avg Days To Max Decline |
18 |
17 |
17 |
18 |
20 |
21 |
19 |
20 |
21 |
22 |
15 |
| Avg Max Increase |
-2.88% |
-1.63% |
-3.50% |
-3.16% |
-3.07% |
-2.45% |
-2.95% |
-3.72% |
-5.79% |
-5.03% |
-3.66% |
| Max Increase |
-10.34% |
-5.83% |
-17.43% |
-13.66% |
-9.09% |
-7.83% |
-10.78% |
-12.52% |
-21.36% |
-11.14% |
-12.37% |
| Avg Days to Max Increase |
12 |
7 |
11 |
4 |
6 |
6 |
4 |
7 |
10 |
9 |
9 |
| 2005 Contract Condition |
Yes |
|
|
|
|
Yes |
Yes |
|
|
|
|
| Action |
Yes |
|
|
|
|
Yes |
Yes |
|
|
|
|
| High |
9.05 |
8.93 |
9.16 |
9.28 |
9.24 |
9.45 |
9.09 |
8.91 |
9.46 |
9.99 |
10.35 |
| Low |
8.52 |
8.40 |
8.71 |
8.86 |
8.92 |
8.90 |
8.29 |
8.24 |
8.70 |
9.10 |
9.50 |
| Close/Last |
8.63 |
8.88 |
9.15 |
9.16 |
9.22 |
9.04 |
8.63 |
8.87 |
9.33 |
9.83 |
10.07 |
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