|
MRCI's ScenarioSM Study |
ScenarioSM 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 |
|
|
|
|
|
|
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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