|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Oats(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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
|
24 |
33 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Higher |
|
8 |
19 |
19 |
16 |
18 |
12 |
13 |
14 |
20 |
17 |
16 |
| Exceeded High |
|
6 |
16 |
13 |
12 |
10 |
10 |
9 |
12 |
13 |
13 |
8 |
| Scenario Percentage |
|
75% |
84% |
68% |
75% |
56% |
83% |
69% |
86% |
65% |
76% |
50% |
| Avg Max Increase |
|
9.14% |
8.59% |
7.91% |
5.70% |
11.29% |
10.90% |
10.63% |
10.25% |
24.53% |
20.19% |
9.19% |
| Max Increase |
|
14.97% |
33.88% |
20.81% |
16.97% |
39.32% |
33.53% |
27.06% |
22.68% |
137.82% |
115.34% |
17.02% |
| Avg Days To Max Increase |
|
16 |
13 |
14 |
12 |
13 |
11 |
12 |
14 |
14 |
11 |
9 |
| Avg Max Decline |
|
-3.31% |
-1.67% |
-1.62% |
-1.75% |
-0.36% |
-1.73% |
-0.95% |
-2.44% |
-2.19% |
-2.58% |
-1.01% |
| Max Decline |
|
-8.81% |
-5.37% |
-11.62% |
-6.45% |
-2.76% |
-3.46% |
-4.33% |
-7.63% |
-7.48% |
-7.86% |
-7.66% |
| Avg Days to Max Decline |
|
8 |
6 |
9 |
7 |
5 |
8 |
8 |
7 |
7 |
3 |
2 |
| 2011 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
|
24 |
33 |
35 |
35 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Lower |
|
15 |
14 |
16 |
19 |
18 |
23 |
23 |
22 |
16 |
19 |
20 |
| Penetrated Low |
|
8 |
10 |
10 |
15 |
12 |
20 |
17 |
12 |
14 |
14 |
10 |
| Scenario Percentage |
|
53% |
71% |
63% |
79% |
67% |
87% |
74% |
55% |
88% |
74% |
50% |
| Avg Max Decline |
|
10.30% |
10.02% |
8.58% |
7.80% |
9.19% |
9.01% |
9.11% |
13.32% |
10.64% |
10.32% |
6.16% |
| Max Decline |
|
35.68% |
34.36% |
20.04% |
16.86% |
22.08% |
20.60% |
17.14% |
24.67% |
21.82% |
29.28% |
13.84% |
| Avg Days To Max Decline |
|
25 |
20 |
14 |
19 |
19 |
16 |
19 |
21 |
19 |
8 |
7 |
| Avg Max Increase |
|
-2.69% |
-4.08% |
-2.35% |
-2.41% |
-2.71% |
-1.87% |
-1.95% |
-3.66% |
-4.88% |
-3.92% |
-2.11% |
| Max Increase |
|
-7.04% |
-9.40% |
-6.10% |
-7.40% |
-9.29% |
-8.43% |
-6.95% |
-9.12% |
-12.22% |
-11.57% |
-13.04% |
| Avg Days to Max Increase |
|
14 |
17 |
10 |
16 |
8 |
4 |
8 |
13 |
14 |
6 |
2 |
| 2011 Contract Condition |
|
Yes |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
| Action |
|
No |
|
|
No |
|
|
Yes |
Not Yet |
Yes |
|
|
| High |
305.00 |
316.50 |
361.00 |
401.00 |
402.00 |
403.00 |
412.25 |
436.50 |
403.00 |
413.50 |
358.00 |
|
| Low |
269.00 |
299.25 |
300.75 |
344.25 |
356.00 |
361.00 |
376.00 |
372.00 |
323.25 |
343.25 |
343.00 |
|
| Close/Last |
305.00 |
300.75 |
355.25 |
390.25 |
361.00 |
401.50 |
405.75 |
388.50 |
376.00 |
352.50 |
343.00 |
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
