|
MRCI's ScenarioSM Study |
ScenarioSM Study for December 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Tested Years |
|
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
21 |
25 |
26 |
20 |
22 |
18 |
16 |
23 |
17 |
21 |
21 |
Exceeded High |
|
20 |
19 |
22 |
18 |
17 |
13 |
12 |
15 |
14 |
12 |
7 |
Scenario Percentage |
|
95% |
76% |
85% |
90% |
77% |
72% |
75% |
65% |
82% |
57% |
33% |
Avg Max Increase |
|
7.13% |
6.65% |
8.20% |
14.69% |
14.00% |
12.34% |
13.34% |
8.16% |
13.38% |
7.35% |
5.79% |
Max Increase |
|
19.16% |
15.57% |
37.39% |
62.47% |
50.71% |
37.37% |
29.99% |
33.86% |
44.00% |
17.85% |
17.37% |
Avg Days To Max Increase |
|
20 |
12 |
16 |
18 |
14 |
13 |
16 |
14 |
18 |
13 |
8 |
Avg Max Decline |
|
-1.27% |
-2.47% |
-1.78% |
-2.47% |
-2.66% |
-1.28% |
-2.89% |
-3.05% |
-3.58% |
-1.71% |
-0.31% |
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 |
8 |
13 |
11 |
6 |
6 |
7 |
13 |
9 |
4 |
1 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
|
|
|
|
|
|
Action |
|
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Tested Years |
|
40 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
19 |
20 |
19 |
25 |
23 |
27 |
29 |
22 |
28 |
23 |
24 |
Penetrated Low |
|
19 |
15 |
17 |
24 |
21 |
22 |
23 |
16 |
22 |
19 |
14 |
Scenario Percentage |
|
100% |
75% |
89% |
96% |
91% |
81% |
79% |
73% |
79% |
83% |
58% |
Avg Max Decline |
|
4.88% |
4.45% |
6.34% |
8.29% |
9.76% |
11.17% |
7.62% |
7.41% |
7.92% |
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 |
|
16 |
16 |
16 |
21 |
23 |
18 |
17 |
14 |
20 |
12 |
9 |
Avg Max Increase |
|
-1.80% |
-2.28% |
-3.03% |
-3.33% |
-5.29% |
-2.58% |
-2.60% |
-1.20% |
-2.43% |
-2.00% |
-1.17% |
Max Increase |
|
-6.33% |
-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 |
|
11 |
11 |
11 |
11 |
13 |
6 |
8 |
6 |
11 |
5 |
2 |
2011 Contract Condition |
|
|
|
|
|
Yes |
|
|
|
|
|
|
Action |
|
|
|
|
|
|
|
|
|
|
|
|
High |
562.00 |
593.00 |
623.00 |
625.25 |
684.00 |
675.00 |
|
|
|
|
|
|
Low |
502.25 |
536.00 |
566.50 |
544.75 |
626.50 |
658.00 |
|
|
|
|
|
|
Close/Last |
562.00 |
591.25 |
606.75 |
625.25 |
669.50 |
661.25 |
|
|
|
|
|
|
|
|
Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
www.mrci.com | sales@mrci.com | Phone: 541-525-0521 |
|