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MRCI's Scenario Study
MRCI's
Scenario
SM
Study
Scenario
SM
Study for September 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
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Tested Years
24
31
33
36
36
36
36
36
36
36
36
Closed Higher
12
15
15
13
15
14
22
16
14
14
15
Exceeded High
8
11
10
11
10
12
13
11
11
10
8
Scenario Percentage
67%
73%
67%
85%
67%
86%
59%
69%
79%
71%
53%
Avg Max Increase
6.40%
5.35%
12.18%
9.58%
10.06%
10.23%
23.85%
22.30%
13.08%
12.27%
7.34%
Max Increase
10.82%
11.80%
37.56%
33.14%
30.95%
24.88%
134.52%
111.54%
22.22%
20.48%
13.98%
Avg Days To Max Increase
17
12
14
16
18
16
15
17
11
11
9
Avg Max Decline
-2.79%
-0.95%
-0.86%
-2.20%
-2.44%
-1.42%
-1.35%
-4.22%
-2.39%
-5.29%
-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
12
8
4
11
8
9
7
6
5
8
2
2011 Contract Condition
Yes
Yes
Yes
Yes
Action
Yes
Yes
Yes
Yes
Copyright © 1989-
Moore Research Center, Inc.
All Rights Reserved.
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
24
31
33
36
36
36
36
36
36
36
36
Closed Lower
12
16
17
23
20
22
14
20
22
22
21
Penetrated Low
10
13
12
18
14
14
12
18
17
14
2
Scenario Percentage
83%
81%
71%
78%
70%
64%
86%
90%
77%
64%
10%
Avg Max Decline
5.87%
7.65%
7.76%
8.43%
9.58%
9.72%
10.26%
12.80%
14.46%
9.98%
5.57%
Max Decline
19.89%
15.06%
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
18
21
17
20
20
20
16
9
Avg Max Increase
-3.16%
-1.77%
-2.65%
-1.93%
-1.40%
-2.69%
-4.56%
-4.60%
-3.26%
-3.43%
0.09%
Max Increase
-12.59%
-6.13%
-8.50%
-8.70%
-6.27%
-7.55%
-11.79%
-20.37%
-11.37%
-13.13%
0.00%
Avg Days to Max Increase
10
9
9
6
11
10
10
11
6
8
1
2011 Contract Condition
Yes
Yes
Yes
Yes
Action
Yes
Not Yet
Yes
High
330.00
344.00
347.00
357.50
376.75
406.00
397.00
416.00
360.00
Low
307.75
321.00
340.00
338.00
343.25
363.25
331.00
355.50
349.75
Close/Last
321.00
344.00
340.00
357.50
376.50
386.00
383.25
360.00
350.00
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