|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Orange Juice(ICE) 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 |
|
37 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Higher |
|
20 |
24 |
23 |
25 |
16 |
17 |
18 |
24 |
18 |
27 |
18 |
| Exceeded High |
|
17 |
19 |
19 |
17 |
11 |
7 |
16 |
18 |
13 |
15 |
11 |
| Scenario Percentage |
|
85% |
79% |
83% |
68% |
69% |
41% |
89% |
75% |
72% |
56% |
61% |
| Avg Max Increase |
|
11.52% |
14.87% |
11.95% |
16.37% |
14.51% |
13.28% |
9.70% |
12.02% |
12.75% |
6.60% |
4.81% |
| Max Increase |
|
41.65% |
43.02% |
44.17% |
62.51% |
28.36% |
18.19% |
31.32% |
30.56% |
34.97% |
15.09% |
9.31% |
| Avg Days To Max Increase |
|
19 |
16 |
17 |
15 |
11 |
21 |
15 |
18 |
19 |
11 |
7 |
| Avg Max Decline |
|
-3.31% |
-0.89% |
-1.29% |
-1.92% |
-2.70% |
-2.47% |
-1.56% |
-3.16% |
-2.00% |
-3.32% |
-0.71% |
| Max Decline |
|
-17.24% |
-8.20% |
-6.67% |
-10.84% |
-11.07% |
-8.26% |
-9.63% |
-12.66% |
-11.46% |
-9.76% |
-1.69% |
| Avg Days to Max Decline |
|
13 |
4 |
11 |
11 |
5 |
6 |
9 |
12 |
7 |
9 |
2 |
| 2011 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
| Action |
|
|
No |
|
|
Yes |
No |
No |
|
Yes |
|
|
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 |
|
37 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Lower |
|
17 |
18 |
20 |
18 |
27 |
26 |
25 |
19 |
25 |
16 |
25 |
| Penetrated Low |
|
14 |
12 |
16 |
14 |
25 |
17 |
19 |
16 |
18 |
10 |
9 |
| Scenario Percentage |
|
82% |
67% |
80% |
78% |
93% |
65% |
76% |
84% |
72% |
63% |
36% |
| Avg Max Decline |
|
7.93% |
7.98% |
8.89% |
12.33% |
10.26% |
9.62% |
8.26% |
9.14% |
8.82% |
10.73% |
4.05% |
| Max Decline |
|
23.73% |
18.33% |
19.61% |
21.05% |
24.38% |
23.13% |
17.45% |
21.93% |
25.18% |
21.50% |
7.62% |
| Avg Days To Max Decline |
|
15 |
16 |
25 |
19 |
20 |
14 |
19 |
18 |
19 |
15 |
6 |
| Avg Max Increase |
|
-1.82% |
-0.75% |
-4.03% |
-2.69% |
-3.27% |
-1.94% |
-3.60% |
-2.50% |
-4.48% |
-1.94% |
-2.25% |
| Max Increase |
|
-7.36% |
-3.70% |
-17.43% |
-14.46% |
-12.91% |
-4.36% |
-10.86% |
-11.56% |
-14.22% |
-7.73% |
-10.59% |
| Avg Days to Max Increase |
|
10 |
4 |
21 |
10 |
11 |
4 |
9 |
12 |
12 |
3 |
3 |
| 2011 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
|
|
Yes |
|
|
|
| Action |
|
No |
|
No |
No |
|
|
|
Not Yet |
|
|
|
| High |
154.90 |
156.00 |
167.00 |
163.80 |
165.65 |
171.50 |
179.30 |
177.25 |
173.80 |
171.25 |
172.25 |
|
| Low |
142.20 |
141.15 |
143.05 |
147.05 |
152.00 |
152.45 |
163.50 |
161.00 |
151.95 |
159.45 |
168.50 |
|
| Close/Last |
153.95 |
146.30 |
162.65 |
161.30 |
152.00 |
166.35 |
167.05 |
170.85 |
160.45 |
168.70 |
169.60 |
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
