|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Rough Rice(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 |
|
10 |
13 |
19 |
20 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Higher |
|
2 |
10 |
10 |
9 |
12 |
13 |
12 |
10 |
9 |
10 |
9 |
| Exceeded High |
|
2 |
7 |
8 |
8 |
10 |
12 |
8 |
8 |
5 |
7 |
4 |
| Scenario Percentage |
|
100% |
70% |
80% |
89% |
83% |
92% |
67% |
80% |
56% |
70% |
44% |
| Avg Max Increase |
|
6.56% |
9.21% |
7.60% |
10.64% |
11.25% |
10.83% |
7.99% |
6.77% |
8.00% |
14.33% |
11.89% |
| Max Increase |
|
11.11% |
25.44% |
23.19% |
23.16% |
34.06% |
26.96% |
22.02% |
11.61% |
21.03% |
65.96% |
39.29% |
| Avg Days To Max Increase |
|
22 |
22 |
18 |
20 |
16 |
14 |
12 |
18 |
10 |
13 |
12 |
| Avg Max Decline |
|
-0.51% |
-1.42% |
-1.60% |
-1.89% |
-0.87% |
-1.24% |
-1.91% |
-3.72% |
-2.86% |
-2.53% |
-2.07% |
| Max Decline |
|
-0.72% |
-7.69% |
-4.42% |
-6.96% |
-4.59% |
-4.31% |
-5.28% |
-11.83% |
-4.54% |
-9.44% |
-3.97% |
| Avg Days to Max Decline |
|
2 |
5 |
17 |
5 |
9 |
11 |
5 |
13 |
13 |
3 |
4 |
| 2010 Contract Condition |
|
Yes |
Yes |
|
|
|
|
|
|
|
|
|
| Action |
|
No |
No |
|
|
|
|
|
|
|
|
|
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 |
|
10 |
13 |
19 |
20 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Lower |
|
8 |
3 |
8 |
11 |
11 |
10 |
11 |
12 |
14 |
13 |
14 |
| Penetrated Low |
|
5 |
3 |
6 |
10 |
9 |
8 |
11 |
11 |
12 |
9 |
6 |
| Scenario Percentage |
|
63% |
100% |
75% |
91% |
82% |
80% |
100% |
92% |
86% |
69% |
43% |
| Avg Max Decline |
|
6.58% |
7.50% |
10.12% |
7.64% |
7.69% |
11.60% |
6.53% |
9.84% |
8.99% |
10.16% |
3.83% |
| Max Decline |
|
13.95% |
12.43% |
19.93% |
16.67% |
21.93% |
28.05% |
17.64% |
23.56% |
25.86% |
24.54% |
6.53% |
| Avg Days To Max Decline |
|
8 |
24 |
22 |
18 |
23 |
14 |
14 |
17 |
17 |
16 |
12 |
| Avg Max Increase |
|
-0.40% |
-1.13% |
-1.11% |
-2.05% |
-2.33% |
-2.55% |
-3.24% |
-3.80% |
-3.76% |
-1.99% |
-2.06% |
| Max Increase |
|
-4.17% |
-3.16% |
-2.94% |
-7.30% |
-6.00% |
-6.49% |
-11.65% |
-8.59% |
-16.01% |
-7.27% |
-3.52% |
| Avg Days to Max Increase |
|
2 |
10 |
5 |
12 |
11 |
8 |
19 |
9 |
9 |
3 |
4 |
| 2010 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Not Yet |
|
|
|
| High |
14.10 |
14.40 |
14.33 |
14.33 |
14.14 |
13.95 |
13.44 |
13.00 |
12.24 |
11.70 |
|
|
| Low |
13.75 |
13.84 |
14.04 |
13.89 |
13.23 |
13.19 |
12.22 |
12.07 |
11.00 |
11.46 |
|
|
| Close/Last |
14.07 |
14.24 |
14.28 |
13.90 |
13.80 |
13.38 |
12.27 |
12.26 |
11.67 |
11.61 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
