|
MRCI's ScenarioSM Study |
ScenarioSM Study for September Rough Rice(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 |
|
11 |
14 |
20 |
21 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
Closed Higher |
|
3 |
11 |
10 |
9 |
12 |
13 |
12 |
10 |
9 |
11 |
10 |
Exceeded High |
|
2 |
7 |
8 |
8 |
10 |
12 |
8 |
8 |
5 |
8 |
5 |
Scenario Percentage |
|
67% |
64% |
80% |
89% |
83% |
92% |
67% |
80% |
56% |
73% |
50% |
Avg Max Increase |
|
6.56% |
9.21% |
7.60% |
10.64% |
11.25% |
10.83% |
7.99% |
6.77% |
8.00% |
14.17% |
11.04% |
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% |
-2.69% |
-1.69% |
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 |
4 |
3 |
2011 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
Action |
|
Yes |
|
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 |
|
11 |
14 |
20 |
21 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
Closed Lower |
|
8 |
3 |
9 |
12 |
12 |
11 |
12 |
13 |
15 |
13 |
14 |
Penetrated Low |
|
5 |
3 |
7 |
11 |
10 |
9 |
12 |
12 |
12 |
9 |
6 |
Scenario Percentage |
|
63% |
100% |
78% |
92% |
83% |
82% |
100% |
92% |
80% |
69% |
43% |
Avg Max Decline |
|
6.58% |
7.50% |
9.41% |
7.99% |
7.90% |
11.45% |
7.83% |
10.53% |
8.99% |
10.16% |
3.83% |
Max Decline |
|
13.95% |
12.43% |
19.93% |
16.67% |
21.93% |
28.05% |
22.07% |
23.56% |
25.86% |
24.54% |
6.53% |
Avg Days To Max Decline |
|
8 |
24 |
22 |
19 |
23 |
14 |
16 |
18 |
17 |
16 |
12 |
Avg Max Increase |
|
-0.40% |
-1.13% |
-1.20% |
-1.96% |
-2.14% |
-2.94% |
-2.96% |
-3.51% |
-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 |
11 |
10 |
8 |
18 |
9 |
9 |
3 |
4 |
2011 Contract Condition |
|
|
Yes |
|
|
Yes |
|
|
|
|
|
|
Action |
|
|
No |
|
|
Yes |
|
|
|
|
|
|
High |
13.49 |
14.93 |
15.07 |
14.93 |
15.93 |
16.69 |
15.25 |
15.74 |
16.20 |
|
|
|
Low |
12.66 |
13.26 |
13.54 |
14.00 |
14.19 |
13.99 |
13.42 |
14.45 |
15.93 |
|
|
|
Close/Last |
13.49 |
14.66 |
14.42 |
14.90 |
15.93 |
14.81 |
15.05 |
15.74 |
16.01 |
|
|
|
|
|
Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
www.mrci.com | sales@mrci.com | Phone: 541-525-0521 |
|