|
MRCI's ScenarioSM Study |
ScenarioSM Study for July Sugar #11(ICE) 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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
23 |
14 |
24 |
27 |
29 |
24 |
22 |
19 |
18 |
19 |
22 |
Exceeded High |
|
17 |
13 |
22 |
20 |
22 |
21 |
18 |
15 |
15 |
15 |
17 |
Scenario Percentage |
|
74% |
93% |
92% |
74% |
76% |
88% |
82% |
79% |
83% |
79% |
77% |
Avg Max Increase |
|
12.06% |
16.15% |
17.05% |
15.79% |
18.58% |
20.53% |
18.55% |
14.66% |
16.34% |
21.67% |
15.03% |
Max Increase |
|
43.91% |
72.39% |
114.46% |
62.10% |
66.98% |
125.95% |
59.36% |
48.22% |
81.05% |
68.80% |
42.03% |
Avg Days To Max Increase |
|
18 |
20 |
18 |
16 |
17 |
16 |
14 |
15 |
18 |
17 |
18 |
Avg Max Decline |
|
-3.57% |
-3.21% |
-2.75% |
-2.17% |
-2.75% |
-3.36% |
-3.67% |
-2.92% |
-4.73% |
-3.20% |
-1.25% |
Max Decline |
|
-13.66% |
-8.88% |
-6.65% |
-6.47% |
-9.56% |
-12.58% |
-8.70% |
-16.24% |
-13.41% |
-10.07% |
-5.65% |
Avg Days to Max Decline |
|
11 |
14 |
10 |
8 |
6 |
7 |
12 |
9 |
9 |
6 |
3 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
Action |
|
Yes |
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
22 |
30 |
20 |
18 |
16 |
21 |
22 |
26 |
27 |
26 |
23 |
Penetrated Low |
|
14 |
19 |
15 |
12 |
10 |
18 |
18 |
19 |
20 |
22 |
19 |
Scenario Percentage |
|
64% |
63% |
75% |
67% |
63% |
86% |
82% |
73% |
74% |
85% |
83% |
Avg Max Decline |
|
15.68% |
12.61% |
9.26% |
7.23% |
11.44% |
13.47% |
14.73% |
18.58% |
17.77% |
15.85% |
13.58% |
Max Decline |
|
32.01% |
30.34% |
21.05% |
15.12% |
22.89% |
35.16% |
34.36% |
36.14% |
38.60% |
38.62% |
26.75% |
Avg Days To Max Decline |
|
17 |
15 |
13 |
14 |
18 |
18 |
21 |
22 |
21 |
17 |
18 |
Avg Max Increase |
|
-2.00% |
-2.21% |
-4.32% |
-2.93% |
-2.18% |
-3.27% |
-3.32% |
-3.79% |
-3.26% |
-3.41% |
-2.45% |
Max Increase |
|
-5.34% |
-6.75% |
-19.74% |
-9.93% |
-7.68% |
-18.49% |
-11.91% |
-10.94% |
-12.13% |
-11.82% |
-11.18% |
Avg Days to Max Increase |
|
4 |
12 |
8 |
9 |
4 |
8 |
7 |
6 |
8 |
6 |
3 |
2011 Contract Condition |
|
|
|
|
|
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
Action |
|
|
|
|
|
No |
|
|
Yes |
Yes |
Yes |
|
High |
16.86 |
17.14 |
17.65 |
21.20 |
25.00 |
27.33 |
27.00 |
28.31 |
29.75 |
28.39 |
25.95 |
22.24 |
Low |
15.50 |
15.54 |
16.15 |
17.31 |
19.27 |
20.22 |
22.45 |
24.46 |
25.01 |
23.37 |
21.75 |
21.45 |
Close/Last |
15.92 |
16.86 |
17.28 |
19.94 |
24.57 |
22.32 |
26.20 |
28.31 |
27.26 |
25.04 |
22.25 |
21.87 |
|
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