|
MRCI's ScenarioSM Study |
ScenarioSM Study for October 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
26 |
26 |
24 |
22 |
21 |
19 |
22 |
19 |
22 |
22 |
18 |
Exceeded High |
|
19 |
20 |
21 |
17 |
18 |
18 |
16 |
17 |
19 |
18 |
15 |
Scenario Percentage |
|
73% |
77% |
88% |
77% |
86% |
95% |
73% |
89% |
86% |
82% |
83% |
Avg Max Increase |
|
14.73% |
15.67% |
19.10% |
18.41% |
12.93% |
12.66% |
18.87% |
17.49% |
16.26% |
14.13% |
12.19% |
Max Increase |
|
56.25% |
58.71% |
121.90% |
60.02% |
43.87% |
67.91% |
55.89% |
65.50% |
67.94% |
44.66% |
37.57% |
Avg Days To Max Increase |
|
18 |
16 |
16 |
16 |
14 |
18 |
19 |
19 |
16 |
12 |
15 |
Avg Max Decline |
|
-2.95% |
-2.50% |
-2.72% |
-3.19% |
-1.62% |
-4.05% |
-2.51% |
-2.79% |
-5.05% |
-4.22% |
-1.46% |
Max Decline |
|
-7.70% |
-8.54% |
-10.66% |
-8.60% |
-14.62% |
-13.99% |
-7.50% |
-16.61% |
-18.81% |
-11.56% |
-6.27% |
Avg Days to Max Decline |
|
8 |
9 |
6 |
9 |
6 |
8 |
6 |
7 |
7 |
10 |
4 |
2011 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
|
|
|
|
|
|
Action |
|
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 |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
18 |
19 |
21 |
23 |
24 |
26 |
23 |
26 |
23 |
22 |
27 |
Penetrated Low |
|
14 |
13 |
18 |
17 |
19 |
19 |
19 |
21 |
18 |
15 |
21 |
Scenario Percentage |
|
78% |
68% |
86% |
74% |
79% |
73% |
83% |
81% |
78% |
68% |
78% |
Avg Max Decline |
|
5.80% |
10.12% |
12.04% |
13.97% |
16.18% |
16.35% |
15.55% |
16.21% |
19.46% |
21.53% |
12.10% |
Max Decline |
|
14.59% |
21.43% |
27.76% |
33.23% |
32.50% |
35.94% |
39.06% |
29.16% |
33.71% |
38.65% |
22.64% |
Avg Days To Max Decline |
|
16 |
16 |
18 |
20 |
22 |
20 |
17 |
19 |
20 |
23 |
22 |
Avg Max Increase |
|
-3.17% |
-1.22% |
-3.15% |
-2.78% |
-3.55% |
-3.06% |
-2.95% |
-3.68% |
-5.78% |
-4.63% |
-2.74% |
Max Increase |
|
-10.34% |
-5.83% |
-17.43% |
-10.79% |
-9.09% |
-13.18% |
-10.78% |
-12.52% |
-21.36% |
-9.51% |
-10.36% |
Avg Days to Max Increase |
|
12 |
7 |
10 |
5 |
6 |
7 |
4 |
9 |
9 |
9 |
7 |
2011 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
|
|
Action |
|
|
No |
|
|
Yes |
Yes |
Yes |
|
|
|
|
High |
19.91 |
23.40 |
25.20 |
24.95 |
26.44 |
27.57 |
26.70 |
25.14 |
22.65 |
|
|
|
Low |
17.02 |
18.28 |
18.95 |
20.85 |
22.80 |
23.48 |
22.27 |
22.20 |
21.90 |
|
|
|
Close/Last |
18.83 |
23.02 |
20.78 |
24.46 |
26.42 |
25.79 |
24.16 |
22.65 |
22.32 |
|
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