|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Orange Juice(ICE) 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 |
|
33 |
39 |
41 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Higher |
|
18 |
21 |
15 |
17 |
15 |
23 |
19 |
25 |
14 |
25 |
22 |
| Exceeded High |
|
14 |
16 |
10 |
8 |
12 |
18 |
14 |
16 |
11 |
18 |
10 |
| Scenario Percentage |
|
78% |
76% |
67% |
47% |
80% |
78% |
74% |
64% |
79% |
72% |
45% |
| Avg Max Increase |
|
8.32% |
12.16% |
13.55% |
10.39% |
9.82% |
11.53% |
12.56% |
10.05% |
11.23% |
8.29% |
5.74% |
| Max Increase |
|
25.83% |
38.26% |
28.46% |
17.51% |
28.55% |
29.71% |
34.95% |
21.46% |
21.34% |
28.23% |
15.65% |
| Avg Days To Max Increase |
|
15 |
15 |
14 |
17 |
17 |
19 |
18 |
19 |
15 |
11 |
7 |
| Avg Max Decline |
|
-1.01% |
-1.54% |
-3.20% |
-2.28% |
-2.23% |
-2.92% |
-1.40% |
-4.20% |
-2.50% |
-2.17% |
0.02% |
| Max Decline |
|
-5.19% |
-9.99% |
-10.43% |
-7.24% |
-9.57% |
-11.59% |
-11.94% |
-22.29% |
-7.99% |
-10.16% |
-0.82% |
| Avg Days to Max Decline |
|
11 |
11 |
5 |
6 |
8 |
14 |
5 |
13 |
9 |
6 |
1 |
| 2010 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
|
|
|
| Action |
|
Yes |
Yes |
Yes |
No |
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
33 |
39 |
41 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Lower |
|
15 |
17 |
25 |
24 |
27 |
19 |
22 |
17 |
28 |
17 |
19 |
| Penetrated Low |
|
12 |
12 |
24 |
16 |
20 |
17 |
17 |
14 |
18 |
11 |
6 |
| Scenario Percentage |
|
80% |
71% |
96% |
67% |
74% |
89% |
77% |
82% |
64% |
65% |
32% |
| Avg Max Decline |
|
7.93% |
11.80% |
10.00% |
9.03% |
7.75% |
8.12% |
9.34% |
10.33% |
8.15% |
8.81% |
5.37% |
| Max Decline |
|
17.23% |
19.76% |
24.45% |
23.27% |
16.88% |
20.35% |
24.10% |
21.93% |
12.67% |
15.53% |
9.72% |
| Avg Days To Max Decline |
|
23 |
20 |
19 |
12 |
20 |
18 |
20 |
21 |
16 |
12 |
6 |
| Avg Max Increase |
|
-2.47% |
-2.65% |
-3.06% |
-1.91% |
-3.54% |
-2.50% |
-4.22% |
-3.08% |
-3.60% |
-3.85% |
-1.07% |
| Max Increase |
|
-6.39% |
-13.40% |
-12.46% |
-4.73% |
-11.67% |
-11.00% |
-12.38% |
-21.66% |
-10.04% |
-11.22% |
-3.44% |
| Avg Days to Max Increase |
|
13 |
12 |
11 |
4 |
10 |
14 |
14 |
8 |
12 |
11 |
2 |
| 2010 Contract Condition |
|
|
|
|
|
|
Yes |
Yes |
|
Yes |
|
|
| Action |
|
|
|
|
|
|
Yes |
Not Yet |
|
|
|
|
| High |
117.45 |
132.60 |
133.00 |
148.15 |
158.20 |
147.75 |
156.00 |
140.95 |
147.25 |
143.80 |
|
|
| Low |
104.15 |
107.60 |
123.85 |
132.85 |
138.00 |
141.25 |
138.50 |
130.70 |
136.65 |
138.00 |
|
|
| Close/Last |
106.90 |
128.10 |
131.95 |
137.10 |
143.40 |
147.55 |
139.30 |
139.25 |
144.00 |
140.30 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
