|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Corn(CBOT) as of May 31, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
20 |
21 |
24 |
23 |
24 |
28 |
17 |
23 |
17 |
15 |
22 |
| Exceeded High |
|
12 |
12 |
18 |
20 |
19 |
26 |
14 |
17 |
11 |
9 |
10 |
| Scenario Percentage |
|
60% |
57% |
75% |
87% |
79% |
93% |
82% |
74% |
65% |
60% |
45% |
| Avg Max Increase |
|
6.97% |
9.22% |
8.51% |
7.06% |
5.97% |
7.70% |
13.47% |
13.52% |
14.91% |
11.10% |
4.06% |
| Max Increase |
|
14.84% |
26.38% |
29.46% |
16.18% |
17.33% |
41.01% |
42.10% |
56.06% |
32.50% |
20.75% |
10.02% |
| Avg Days To Max Increase |
|
20 |
16 |
19 |
22 |
15 |
15 |
17 |
15 |
16 |
10 |
6 |
| Avg Max Decline |
|
-0.95% |
-1.62% |
-1.35% |
-1.32% |
-2.40% |
-1.97% |
-1.95% |
-2.40% |
-1.08% |
-1.31% |
-0.80% |
| Max Decline |
|
-2.62% |
-5.93% |
-6.73% |
-3.26% |
-8.22% |
-10.55% |
-6.25% |
-5.50% |
-5.72% |
-6.60% |
-2.19% |
| Avg Days to Max Decline |
|
8 |
8 |
6 |
11 |
10 |
10 |
12 |
7 |
6 |
3 |
2 |
| 2010 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
|
|
| Action |
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
19 |
24 |
20 |
22 |
21 |
16 |
28 |
22 |
28 |
30 |
23 |
| Penetrated Low |
|
14 |
16 |
15 |
22 |
16 |
15 |
25 |
20 |
23 |
23 |
13 |
| Scenario Percentage |
|
74% |
67% |
75% |
100% |
76% |
94% |
89% |
91% |
82% |
77% |
57% |
| Avg Max Decline |
|
5.71% |
6.63% |
4.27% |
4.90% |
4.01% |
6.86% |
8.79% |
10.20% |
12.51% |
7.22% |
4.55% |
| Max Decline |
|
25.43% |
22.45% |
20.47% |
17.92% |
9.56% |
12.01% |
18.83% |
27.77% |
19.93% |
17.40% |
10.31% |
| Avg Days To Max Decline |
|
15 |
13 |
17 |
15 |
12 |
15 |
22 |
21 |
15 |
10 |
8 |
| Avg Max Increase |
|
-1.63% |
-1.21% |
-1.32% |
-1.41% |
-2.31% |
-2.41% |
-3.51% |
-4.94% |
-2.90% |
-1.71% |
-1.04% |
| Max Increase |
|
-6.50% |
-4.22% |
-3.85% |
-4.19% |
-9.03% |
-5.91% |
-19.29% |
-27.18% |
-18.45% |
-8.17% |
-3.60% |
| Avg Days to Max Increase |
|
8 |
6 |
7 |
9 |
7 |
9 |
13 |
10 |
5 |
4 |
3 |
| 2010 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
|
Yes |
|
Not Yet |
|
|
|
| High |
385.25 |
438.50 |
446.50 |
445.50 |
447.00 |
408.00 |
409.00 |
384.75 |
391.00 |
371.00 |
|
|
| Low |
343.50 |
370.00 |
399.75 |
408.00 |
383.00 |
376.25 |
365.25 |
359.25 |
362.00 |
363.00 |
|
|
| Close/Last |
381.75 |
403.75 |
442.50 |
437.50 |
384.25 |
406.00 |
366.00 |
383.50 |
369.00 |
364.00 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
