|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Oats(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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
23 |
30 |
32 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
|
11 |
15 |
14 |
13 |
15 |
14 |
22 |
16 |
13 |
13 |
15 |
| Exceeded High |
|
7 |
11 |
9 |
11 |
10 |
12 |
13 |
11 |
10 |
9 |
8 |
| Scenario Percentage |
|
64% |
73% |
64% |
85% |
67% |
86% |
59% |
69% |
77% |
69% |
53% |
| Avg Max Increase |
|
6.82% |
5.35% |
13.46% |
9.58% |
10.06% |
10.23% |
23.85% |
22.30% |
12.64% |
11.36% |
7.34% |
| Max Increase |
|
10.82% |
11.80% |
37.56% |
33.14% |
30.95% |
24.88% |
134.52% |
111.54% |
22.22% |
19.21% |
13.98% |
| Avg Days To Max Increase |
|
15 |
12 |
15 |
16 |
18 |
16 |
15 |
17 |
12 |
10 |
9 |
| Avg Max Decline |
|
-2.46% |
-0.95% |
-0.96% |
-2.20% |
-2.44% |
-1.42% |
-1.35% |
-4.22% |
-2.16% |
-5.31% |
-0.97% |
| Max Decline |
|
-9.91% |
-5.49% |
-4.62% |
-7.37% |
-10.26% |
-7.07% |
-6.68% |
-12.38% |
-10.46% |
-11.39% |
-2.96% |
| Avg Days to Max Decline |
|
8 |
8 |
4 |
11 |
8 |
9 |
7 |
6 |
5 |
6 |
2 |
| 2010 Contract Condition |
|
Yes |
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
23 |
30 |
32 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
|
12 |
15 |
17 |
22 |
19 |
21 |
13 |
19 |
22 |
22 |
20 |
| Penetrated Low |
|
10 |
12 |
12 |
17 |
13 |
13 |
11 |
18 |
17 |
14 |
2 |
| Scenario Percentage |
|
83% |
80% |
71% |
77% |
68% |
62% |
85% |
95% |
77% |
64% |
10% |
| Avg Max Decline |
|
5.87% |
7.03% |
7.76% |
8.24% |
9.18% |
9.48% |
10.11% |
12.80% |
14.46% |
9.98% |
5.57% |
| Max Decline |
|
19.89% |
12.68% |
17.52% |
16.55% |
15.31% |
18.40% |
19.38% |
28.78% |
30.34% |
22.01% |
8.18% |
| Avg Days To Max Decline |
|
12 |
19 |
20 |
17 |
20 |
17 |
20 |
20 |
20 |
16 |
9 |
| Avg Max Increase |
|
-3.16% |
-1.40% |
-2.65% |
-1.79% |
-1.48% |
-2.58% |
-4.85% |
-4.60% |
-3.26% |
-3.43% |
0.09% |
| Max Increase |
|
-12.59% |
-4.82% |
-8.50% |
-8.70% |
-6.27% |
-7.55% |
-11.79% |
-20.37% |
-11.37% |
-13.13% |
0.00% |
| Avg Days to Max Increase |
|
10 |
7 |
9 |
5 |
12 |
11 |
11 |
11 |
6 |
8 |
1 |
| 2010 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Not Yet |
|
|
|
| High |
276.00 |
299.00 |
300.50 |
301.00 |
303.00 |
263.50 |
247.50 |
233.75 |
225.00 |
204.00 |
|
|
| Low |
245.00 |
262.00 |
285.50 |
276.00 |
242.50 |
243.25 |
223.50 |
210.00 |
195.75 |
199.25 |
|
|
| Close/Last |
275.00 |
291.00 |
285.50 |
301.00 |
252.75 |
246.50 |
224.50 |
222.00 |
199.25 |
202.50 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
