|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Corn(CBOT) as of Apr 30, 2011 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
|
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
20 |
16 |
22 |
22 |
24 |
20 |
23 |
23 |
16 |
23 |
17 |
| Exceeded High |
|
13 |
14 |
14 |
13 |
18 |
16 |
17 |
21 |
14 |
16 |
11 |
| Scenario Percentage |
|
65% |
88% |
64% |
59% |
75% |
80% |
74% |
91% |
88% |
70% |
65% |
| Avg Max Increase |
|
6.06% |
10.01% |
7.84% |
9.50% |
7.87% |
8.69% |
6.89% |
7.14% |
12.65% |
11.91% |
6.47% |
| Max Increase |
|
10.89% |
38.35% |
16.30% |
28.80% |
28.71% |
16.78% |
26.54% |
30.33% |
51.63% |
60.09% |
9.79% |
| Avg Days To Max Increase |
|
14 |
15 |
21 |
14 |
17 |
22 |
11 |
13 |
19 |
11 |
8 |
| Avg Max Decline |
|
-2.57% |
-2.58% |
-1.39% |
-2.46% |
-1.96% |
-1.89% |
-2.79% |
-2.18% |
-2.48% |
-3.02% |
-0.08% |
| Max Decline |
|
-9.08% |
-8.83% |
-3.62% |
-8.20% |
-8.20% |
-4.31% |
-9.29% |
-10.79% |
-6.45% |
-10.06% |
-1.31% |
| Avg Days to Max Decline |
|
14 |
8 |
11 |
10 |
9 |
12 |
9 |
9 |
10 |
5 |
2 |
| 2011 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
|
Yes |
Yes |
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
|
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
20 |
29 |
23 |
23 |
21 |
24 |
21 |
22 |
29 |
22 |
28 |
| Penetrated Low |
|
13 |
23 |
17 |
16 |
15 |
23 |
15 |
17 |
26 |
17 |
17 |
| Scenario Percentage |
|
65% |
79% |
74% |
70% |
71% |
96% |
71% |
77% |
90% |
77% |
61% |
| Avg Max Decline |
|
7.01% |
6.78% |
7.15% |
7.03% |
5.68% |
5.54% |
4.64% |
6.87% |
8.69% |
8.26% |
5.63% |
| Max Decline |
|
35.76% |
29.27% |
26.37% |
22.48% |
22.89% |
18.80% |
9.21% |
11.48% |
20.53% |
22.44% |
16.21% |
| Avg Days To Max Decline |
|
16 |
21 |
14 |
13 |
17 |
17 |
15 |
16 |
22 |
13 |
9 |
| Avg Max Increase |
|
-1.62% |
-1.87% |
-1.43% |
-1.25% |
-1.75% |
-1.84% |
-1.88% |
-2.37% |
-3.67% |
-2.15% |
-1.26% |
| Max Increase |
|
-4.02% |
-4.53% |
-6.15% |
-2.76% |
-4.29% |
-6.56% |
-4.43% |
-5.12% |
-16.67% |
-9.22% |
-8.50% |
| Avg Days to Max Increase |
|
5 |
10 |
7 |
7 |
10 |
9 |
7 |
14 |
13 |
5 |
3 |
| 2011 Contract Condition |
|
|
|
|
Yes |
|
|
|
Yes |
|
Yes |
|
| Action |
|
|
|
|
No |
|
|
|
Not Yet |
|
|
|
| High |
438.25 |
470.75 |
547.50 |
607.00 |
626.25 |
641.75 |
680.50 |
738.75 |
745.00 |
788.75 |
761.50 |
|
| Low |
399.50 |
426.00 |
462.50 |
476.75 |
531.75 |
554.50 |
608.00 |
671.25 |
615.25 |
726.00 |
731.75 |
|
| Close/Last |
432.00 |
464.50 |
517.50 |
603.75 |
555.50 |
640.00 |
675.00 |
733.25 |
701.00 |
756.50 |
734.50 |
|
|
|
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|
