|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
|
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
21 |
25 |
27 |
20 |
22 |
19 |
15 |
22 |
16 |
20 |
22 |
| Exceeded High |
|
20 |
19 |
23 |
17 |
17 |
13 |
11 |
14 |
13 |
11 |
8 |
| Scenario Percentage |
|
95% |
76% |
85% |
85% |
77% |
68% |
73% |
64% |
81% |
55% |
36% |
| Avg Max Increase |
|
7.13% |
6.70% |
7.90% |
15.45% |
14.00% |
12.34% |
11.82% |
6.33% |
12.72% |
7.66% |
5.67% |
| Max Increase |
|
19.16% |
15.57% |
37.39% |
62.47% |
50.71% |
37.37% |
25.90% |
13.70% |
44.00% |
17.85% |
17.37% |
| Avg Days To Max Increase |
|
20 |
14 |
16 |
18 |
14 |
13 |
15 |
14 |
19 |
13 |
8 |
| Avg Max Decline |
|
-1.27% |
-2.41% |
-1.72% |
-2.43% |
-2.66% |
-1.28% |
-2.98% |
-3.24% |
-3.21% |
-1.66% |
-0.26% |
| Max Decline |
|
-3.29% |
-9.24% |
-10.38% |
-6.87% |
-6.10% |
-6.27% |
-12.19% |
-11.79% |
-10.19% |
-7.38% |
-1.33% |
| Avg Days to Max Decline |
|
11 |
9 |
13 |
12 |
6 |
6 |
7 |
14 |
10 |
4 |
1 |
| 2010 Contract Condition |
|
|
Yes |
|
Yes |
|
|
|
|
|
|
|
| Action |
|
|
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
|
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
18 |
20 |
18 |
25 |
23 |
26 |
30 |
23 |
29 |
24 |
23 |
| Penetrated Low |
|
18 |
15 |
16 |
24 |
20 |
22 |
24 |
17 |
23 |
19 |
14 |
| Scenario Percentage |
|
100% |
75% |
89% |
96% |
87% |
85% |
80% |
74% |
79% |
79% |
61% |
| Avg Max Decline |
|
4.93% |
4.45% |
6.58% |
8.29% |
9.77% |
11.17% |
7.44% |
7.20% |
7.68% |
7.64% |
4.74% |
| Max Decline |
|
17.02% |
10.02% |
12.32% |
18.00% |
24.31% |
17.55% |
20.08% |
37.78% |
30.97% |
27.77% |
17.02% |
| Avg Days To Max Decline |
|
15 |
16 |
15 |
21 |
23 |
18 |
17 |
15 |
21 |
12 |
9 |
| Avg Max Increase |
|
-1.55% |
-2.28% |
-2.92% |
-3.33% |
-5.46% |
-2.58% |
-2.47% |
-1.18% |
-2.32% |
-2.00% |
-1.17% |
| Max Increase |
|
-5.97% |
-7.38% |
-7.08% |
-19.34% |
-27.57% |
-17.80% |
-11.02% |
-4.37% |
-5.13% |
-5.11% |
-3.20% |
| Avg Days to Max Increase |
|
10 |
11 |
11 |
11 |
12 |
6 |
10 |
6 |
11 |
5 |
2 |
| 2010 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
|
|
|
|
|
| Action |
|
Yes |
|
Yes |
|
Not Yet |
|
|
|
|
|
|
| High |
452.00 |
449.75 |
414.75 |
415.50 |
394.75 |
399.00 |
382.25 |
|
|
|
|
|
| Low |
415.75 |
389.50 |
383.25 |
375.25 |
367.25 |
372.00 |
374.00 |
|
|
|
|
|
| Close/Last |
440.75 |
390.75 |
413.00 |
376.25 |
392.25 |
380.00 |
375.25 |
|
|
|
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
