COMMODITY PRODUCTS Moore Research Report. Seasonals Charts Strategies GRAINS

Transcription

1 COMMODITY PRODUCTS 28 Moore Research Report Seasonals Charts Strategies GRAINS

2 Welcome to the 28 Moore Historical GRAINS Report This comprehensive report provides historical daily charts, cash and basis charts, and seasonal strategies to help you trade. CME Group offers the following Grain futures and options contracts: Corn, Mini-sized Corn, Wheat, Mini-sized Wheat, Oats and Rough Rice. For more information on CME Group Grain products, visit or contact To begin trading Grain futures and options on the CME Globex electronic trading platform, contact your broker directly.

3 Historical Grains Report For Your Information Corn Oats Wheat (W,KW,MW) Grain Inter-Market Miscellaneous Table of Contents Page Preface Seasonal Explanation and Month Symbols Strategy Explanation Section Index Contract and Spread Seasonal & Weekly Charts Trade and Spread Strategy Summary Strategy Detail Tables Section Index Contract and Spread Seasonal & Weekly Charts Trade and Spread Strategy Summary Strategy Detail Tables Section Index Contract and Spread Seasonal & Weekly Charts Trade and Spread Strategy Summary Strategy Detail Tables Section Index Spread Seasonal & Weekly Charts Spread Strategy Summary Spread Strategy Detail Tables Section Index Historical Volatility Charts Cash & Basis Charts Chronological Summary of Trade & Spread Strategies Edition (All charts current through at least December 27.) The Moore Research Center, Inc. (MRCI), located on 73 secluded acres outside Eugene, Oregon, is sought for its futures market analysis, combining many years of intensive computerized study and the experience of real-time trading. Our hardware and software both are constantly upgraded, giving MRCI the speed and depth of capability to study price movement that we believe are state-of-the-art for the industry. Copyright Moore Research Center, Inc. No part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, facsimile, or any information storage and retrieval system, without written permission. Retransmission by fax or other means which results in the creation of an additional copy is unlawful.

4 Preface Preface Knowledge is the foundation essential to making consistently successful decisions. Would a prudent businessman market product or purchase raw material without first researching profit and cost potential? Would a successful trader/investor jump at a hot tip or a story in The Wall St. Journal? Or would he look before he leaped? The purpose of this publication is to quantify price history in the grains complex, offer it from a variety of relevant perspectives, and present it in a format useful to those whose commerce is substantially affected by fluctuations in prices for and between corn, oats, and wheat (CBOT, KCBT, MGE) futures. Therefore, not only speculative traders but also producers, processors, and business executives throughout the industry are encouraged to thoroughly examine the following comprehensive study, for seasonality can be a primary component in price movement. Seasonal s Nearly all markets real estate, interest rates, cash hogs, grain futures are affected by various fundamental forces, many of which are seasonal in nature. Such forces as weather, fiscal calendars, crop cycles, and certain characteristics of futures contracts themselves (such as delivery and expiration) tend to recur and influence, to one degree or another, certain markets every year. As any market or spread relationship responds to a series of annually recurring factors, seasonal price patterns tend to evolve. Daily seasonal patterns, both the 15- and most recent 5-year, are derived from and a composite of historical daily price activity in the specific contract or spread under consideration. The numerical index to the right reflects a historical tendency to reach its seasonal high (1) or low () at a given time. Weekly continuation charts are also contract-specific. They are intended to better illustrate historical relative value, turning points, and long-term trends for particular trading, spread, and hedging strategies. Windows of Opportunity From these seasonal patterns, one can derive a seasonal approach to markets that is designed to anticipate, enter, and capture recurrent price trends as they emerge and exit before they are realized. Within these patterns may exist certain windows of opportunity, well-defined seasonal tops, bottoms, and trends. Moore Research Center, Inc. computer programs have rigorously analyzed trends that have recurred in the same direction during a similar period of time in at least 8% of the last 15 years. The underlying theory assumes that causal fundamental factors specific to that time period must have existed and may be influential again, thus making each historically 8%-or-more reliable strategy valid as a potential trading idea. Because past performance is not necessarily indicative of future results, these strategies are not recommendations but rather presentations of quantified historical fact the cold, hard historical facts from which to better anticipate future price movement. Essentially, these strategies identify computeroptimized, critical dates on which prices/values have consistently been higher/lower than on preceding dates. In any one given year, markets can certainly trade contrary to their usual patterns. However, rather than a series of statistical aberrations, these strategies tend to reflect a seasonal flow a matrix of tendencies from which only unusual fundamental conditions may cause trading to depart drastically. Any assumptions about future price movement are merely reflections of the market s own past behavior. Special Comments All spread values in this publication are found by subtracting the price (or equity value) of the sell side from that for the buy side. Some spreads reflect changes in value between multiple contracts. In any trade or spread involving wheat futures, close attention must be paid to the appropriate exchange. Because contracts at each (Chicago Board of Trade, Kansas City Board of Trade, Minneapolis Grain Exchange) reflect trading for wheats of different type, class, use, and crop cycle, trading results will vary. The effort to provide a cross-section of seasonal spread ideas could create some unintended net positions if all were traded. The responsibility for developing an appropriate real-time trading plan lies with the user. Red Contracts Red denotes a contract for delivery one year deferred from a nearby contract of the same month. For example, during the year 28, the July 29 contract is designated as Red until the July 28 contract expires. 2 HISTORICAL GRAINS REPORT

5 Seasonal Chart Explanation ach chart consists of two aspects of a market s seasonal pattern the most recent 15-year (solid line) and its Emost recent 5-year (dotted line), December 27 contracts inclusive. Thus, any evolution in the pattern may be perceived, as well as trends, tops, and bottoms coincident to both. The numerical index to the right measures the greatest historical tendency for the market to make a seasonal high (1) or low () at a given time. Besides illustrating the more obvious seasonal tops, seasonal bottoms, and seasonal trends, these patterns also suggest certain cause/effect phenomena which may present secondary opportunities. For instance, do smaller but well-defined breaks/rallies typically precede certain events, such as Thanksgiving or first deliveries against a lead contract? If so, does there exist an implied opportunity? Mar Corn(CBOT) 1 Seasonal(93-7) Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Month Symbols MONTH SYMBOL MONTH SYMBOL January F July N February G August Q March H September U April J October V May K November X June M December Z MOORE RESEARCH CENTER, INC. 3

6 Strategy Explanation Sheet nique MRCI strategy sheets present each historically reliable seasonal trade or spread with a table of its relevant Udetail. Traders are encouraged to evaluate each strategy individually; some may be more speculative in nature than others. To detect a trade, MRCI s computer system scrutinizes the last 15 years (when available) of historical price data for those trends recurrent, with a minimum reliability of 8%, during similar time windows. Those strategies are then subjected to further criteria established for average profit and duration of time window. Once discovered and initially evaluated, a trading strategy is outlined, its crucial data tabulated, and then presented in the format below for closer analysis perspective on the third dimension, if you will. (Special reports may contain certain strategies that have more commercial rather than speculative application, for instance, those that duplicate/overlap other strategies or trade a spot month contract.) Reading the Table For each contract year studied, the table lists entry date and price, exit date and price, and the ultimate profit or loss. Entry and exit prices are definitively based on the settlement price of the dates listed, as are profit and loss values. If an optimized trade date fell on a weekend or holiday, entry was considered to have been made on the following trading day while exit on the prior. In order to reflect historical fact and actual market movement, studies on these strategy sheets do not utilize the equity protection techniques (STOPS) suggested for real-time trading. The table encourages further evaluation by providing peak equity/worst drawdown dates and amounts. Because past performance is not necessarily indicative of future results, these strategies are not recommendations but rather presentations of quantified historical fact. MRCI urges all traders to employ proper money- management techniques at all times. Strategy Explanation CONT BUY Buy on approximately 1/29 - Exit on approximately 2/14 BUY Corn(CBOT) September Contract Size: 5, bushels 27 1/29/ /14/ /13/ /7/ /3/ /14/ /9/ /31/ /14/ /14/5 15 2/4/ /29/ /13/ /11/ /29/ /14/ /1/ /29/ /14/ /13/2 1 2/6/ /29/ /14/ /6/ /31/ /31/ /14/ /1/ /29/ /12/ /1/ /29/ /13/ /1/ /6/ /29/ /14/ /12/ /3/ /29/ /14/ /14/ /3/ /14/ /14/ /31/ /14/ /11/ /29/ /12/ /5/ Percentage Correct 93 Average Profit on Winning Trades Winners 14 Average Loss on Trades Losers 1 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED 4 HISTORICAL GRAINS REPORT

7 Corn (C) Page SEASONAL PATTERNS & WEEKLY CONTINUATIONS Corn (C) CH; CH vs: CK, CN, CU CK; CK vs: CN, CU, CZ CN; CN vs: CU, CZ, CH CU; CU vs: CZ, CH, CK CZ; CZ vs: CH, CK, CN STRATEGIES Seasonal Trade and Spread Strategy Summary Seasonal Strategy Detail Tables Corn (C) MOORE RESEARCH CENTER, INC. 5

8 Mar Corn(CBOT) 1 Seasonal(93-7) Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Mar Corn(CBOT) - May Corn(CBOT) 1 Seasonal(93-7) Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Mar Corn(CBOT) - Jul Corn(CBOT) 1 Seasonal(93-7) Corn: March Seasonal s 1 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Mar Corn(CBOT) - Sep Corn(CBOT) 1 Seasonal(93-7) Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar HISTORICAL GRAINS REPORT

9 5 Weekly Mar Corn(CBOT) Weekly Mar Corn(CBOT) - May Corn(CBOT) Weekly Mar Corn(CBOT) - Jul Corn(CBOT) Weekly Mar Corn(CBOT) - Sep Corn(CBOT) Corn: March Weeklies MOORE RESEARCH CENTER, INC. 7

10 May Corn(CBOT) 1 Seasonal(93-7) Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May May Corn(CBOT) - Jul Corn(CBOT) 1 Seasonal(93-7) Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May May Corn(CBOT) - Sep Corn(CBOT) 1 Seasonal(93-7) Corn: May Seasonal s 1 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May May Corn(CBOT) - Dec Corn(CBOT) 1 Seasonal(93-7) Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May HISTORICAL GRAINS REPORT

11 5 Weekly May Corn(CBOT) Weekly May Corn(CBOT) - Jul Corn(CBOT) Weekly May Corn(CBOT) - Sep Corn(CBOT) Weekly May Corn(CBOT) - Dec Corn(CBOT) Corn: May Weeklies MOORE RESEARCH CENTER, INC. 9

12 Jul Corn(CBOT) 1 Seasonal(93-7) Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Jul Corn(CBOT) - Sep Corn(CBOT) 1 Seasonal(93-7) Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Jul Corn(CBOT) - Dec Corn(CBOT) 1 Seasonal(93-7) Corn: July Seasonal s 1 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Jul Corn(CBOT) - Mar Corn(CBOT) 1 Seasonal(93/94-7/8) Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul HISTORICAL GRAINS REPORT

13 5 Weekly Jul Corn(CBOT) Weekly Jul Corn(CBOT) - Sep Corn(CBOT) Weekly Jul Corn(CBOT) - Dec Corn(CBOT) Weekly Jul Corn(CBOT) - Mar Corn(CBOT) Corn: July Weeklies MOORE RESEARCH CENTER, INC. 11

14 Sep Corn(CBOT) 1 Seasonal(93-7) Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Sep Corn(CBOT) - Dec Corn(CBOT) 1 Seasonal(93-7) Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Sep Corn(CBOT) - Mar Corn(CBOT) 1 Seasonal(93/94-7/8) Corn: September Seasonal s 1 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Sep Corn(CBOT) - May Corn(CBOT) 1 Seasonal(93/94-7/8) Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep HISTORICAL GRAINS REPORT

15 5 Weekly Sep Corn(CBOT) Weekly Sep Corn(CBOT) - Dec Corn(CBOT) Weekly Sep Corn(CBOT) - Mar Corn(CBOT) Weekly Sep Corn(CBOT) - May Corn(CBOT) Corn: September Weeklies MOORE RESEARCH CENTER, INC. 13

16 Dec Corn(CBOT) 1 Seasonal(93-7) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Dec Corn(CBOT) - Mar Corn(CBOT) 1 Seasonal(93/94-7/8) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Dec Corn(CBOT) - May Corn(CBOT) 1 Seasonal(93/94-7/8) Corn: December Seasonal s 1 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Dec Corn(CBOT) - Jul Corn(CBOT) 1 Seasonal(93/94-7/8) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec HISTORICAL GRAINS REPORT

17 5 Weekly Dec Corn(CBOT) Weekly Dec Corn(CBOT) - Mar Corn(CBOT) Weekly Dec Corn(CBOT) - May Corn(CBOT) Weekly Dec Corn(CBOT) - Jul Corn(CBOT) Corn: December Weeklies MOORE RESEARCH CENTER, INC. 15

18 Seasonal Strategy Entry Date Seasonal Corn and Spread Strategies Exit Date Win Pct Win Years Loss Years Total Years Average Profit Ave PPD/ Days 1 Buy Corn(CBOT) September 1/29 2/ / Buy Corn(CBOT) September 1/29 3/ / Sell Corn(CBOT) December 4/6 4/ / Sell Corn(CBOT) July * 4/7 6/ / Buy "Red" Dec Corn(CBOT) 4/8 4/ /21 19 Sell Dec Corn(CBOT) 6 Sell Corn(CBOT) December 4/9 4/ / Sell Corn(CBOT) July 4/25 6/ / Buy "Red" Jul Corn(CBOT) 4/26 8/ /13 2 Sell Sep Corn(CBOT) 9 Buy Corn(CBOT) September 5/1 5/ / Buy Dec Corn(CBOT) 5/19 6/ /27 21 Sell Jul Corn(CBOT) 11 Buy Dec Corn(CBOT) 5/2 8/ /93 22 Sell Sep Corn(CBOT) 12 Sell Corn(CBOT) September 5/21 6/ / Buy "Red" Jul Corn(CBOT) 5/21 7/ /43 23 Sell Sep Corn(CBOT) 14 Sell Corn(CBOT) July 6/2 6/ / Sell Corn(CBOT) September 6/9 8/ / Buy May Corn(CBOT) 6/13 8/ /76 24 Sell Sep Corn(CBOT) 17 Buy May Corn(CBOT) 6/13 9/ /11 25 Sell Dec Corn(CBOT) 18 Sell Corn(CBOT) July 6/19 6/ / Sell Corn(CBOT) September 7/12 8/ / Sell Corn(CBOT) December 7/17 7/ / Sell Corn(CBOT) December 8/24 9/ / Buy "Red" Dec Corn(CBOT) 8/25 1/ /4 27 Sell Dec Corn(CBOT) 23 Buy "Red" Dec Corn(CBOT) 9/3 1/ /33 28 Sell Dec Corn(CBOT) 24 Sell Corn(CBOT) December 9/4 9/ /1 28 * Caution: Trade exit is during delivery period. Longs may be subject to delivery. Pg No Corn Strategy Summary For other MRCI products and information: or (541) Fax: (541) Website: sales@mrci.com Note: These trade strategies have worked with historical consistency. No representation is being made that they will work this year or in the future. Please check current market fundamentals and technical conditions before considering these trades. This information is not a recommendation to buy or sell at this time, but merely a historical presentation of trade strategies. Past results are not necessarily indicative of future results. No representation is being made that an account will or is likely to achieve profits or incur losses similar to those shown. SEASONAL TENDENCIES ARE A COMPOSITE OF SOME OF THE MORE CONSISTENT COMMODITY FUTURES SEASONALS THAT HAVE OCCURRED OVER THE PAST 15 S. THERE ARE USUALLY UNDERLYING FUNDAMENTAL CIRCUMSTANCES THAT OCCUR ANNUALLY THAT TEND TO CAUSE THE FUTURES MARKETS TO REACT IN A SIMILAR DIRECTIONAL MANNER DURING A CERTAIN CALENDAR PERIOD OF THE. EVEN IF A SEASONAL TENDENCY OCCURS IN THE FUTURE, IT MAY NOT RESULT IN A ABLE TRANSACTION AS FEES, AND THE TIMING OF THE AND LIQUIDATION MAY IMPACT ON THE RESULTS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT HAS IN THE PAST OR WILL IN THE FUTURE ACHIEVE S UTILIZING THESE STRATEGIES. NO REPRESENTATION IS BEING MADE THAT PATTERNS WILL RECUR IN THE FUTURE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF Copyright Moore Research Center, Inc. 16 HISTORICAL GRAINS REPORT

19 CONT BUY Buy on approximately 1/29 - Exit on approximately 2/14 BUY Corn(CBOT) September Contract Size: 5, bushels 27 1/29/ /14/ /13/ /7/ /3/ /14/ /9/ /31/ /14/ /14/5 15 2/4/ /29/ /13/ /11/ /29/ /14/ /1/ /29/ /14/ /13/2 1 2/6/ /29/ /14/ /6/ /31/ /31/ /14/ /1/ /29/ /12/ /1/ /29/ /13/ /1/ /6/ /29/ /14/ /12/ /3/ /29/ /14/ /14/ /3/ /14/ /14/ /31/ /14/ /11/ /29/ /12/ /5/ Percentage Correct 93 Average Profit on Winning Trades Winners 14 Average Loss on Trades Losers 1 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED CONT BUY Buy on approximately 1/29 - Exit on approximately 3/9 BUY Corn(CBOT) September Contract Size: 5, bushels 27 1/29/ /9/ /22/7 19 2/7/ /3/ /9/ /3/ /31/ /9/ /28/5 8 2/4/ /29/ /9/ /1/ /29/ /7/ /1/ /24/ /29/ /8/ /13/2 1 2/26/ /29/ /9/ /1/ /23/ /31/ /9/ /1/ 35 2/28/ /29/ /9/ /1/ /26/ /29/ /9/ /1/ /24/ /29/ /7/ /6/ /3/ /29/ /8/ /27/ /3/ /9/ /9/ /31/ /9/ /11/94 5 3/9/ /29/ /9/ /25/ Percentage Correct 8 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables MOORE RESEARCH CENTER, INC. 17

20 CONT SELL Sell on approximately 4/6 - Exit on approximately 4/28 SELL Corn(CBOT) December Contract Size: 5, bushels 27 4/9/ /27/ /27/7 95 4/13/ /6/ /28/ /25/6 35 4/7/ /6/ /28/ /18/5 15 4/26/ /6/ /28/ /21/ /7/ /7/ /28/ /28/ /8/ /26/ /19/ /6/ /27/ /24/ /16/ /6/ /28/ /11/ /25/ /6/ /28/ /27/ /2/ /6/ /28/ /27/ /21/ /7/ /28/ /28/ /1/ /8/ /26/ /16/ /1/ /6/ /28/ /18/95 3 4/11/ /6/ /28/ /19/ /6/ /28/ /27/93 5 4/12/93-15 Percentage Correct 1 Average Profit on Winning Trades Winners 15 Average Loss on Trades Losers Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables CONT Corn(CBOT) July Sell on approximately 4/7 - Exit on approximately 6/3 - Caution: This Trade Enters Deliverable Period SELL SELL Contract Size: 5, bushels 27 4/9/ /29/ /29/ /15/ /7/ /3/ /26/ /17/ /7/ /3/ /13/ /2/ /7/ /3/ /3/4 4 4/8/ /7/ /3/ /3/3 8 5/15/ /8/ /28/ /29/ /27/ /9/ /29/ /25/1 17 4/16/ /7/ /3/ /3/ /3/ /7/ /3/ /29/ /2/ /7/ /3/ /1/ /6/ /7/ /3/ /27/ /14/ /8/ /28/ /9/ /28/ /7/ /3/ /18/95 3 6/19/ /7/ /3/ /29/ /17/ /7/ /3/ /15/ /12/ Percentage Correct 8 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED 18 HISTORICAL GRAINS REPORT

21 CONT Buy "Red" Dec Corn(CBOT) / Sell Dec Corn(CBOT) Enter on approximately 4/8 - Exit on approximately 4/ /9/ /27/ /23/ /13/ /1/ /28/ /25/ /8/ /28/ /18/5 1 4/21/ /8/ /28/ /26/ /8/ /28/ /25/ /8/ /26/ /1/ /25/ /9/ /27/ /27/ /1/ /28/ /28/ /8/ /28/ /12/99 1 4/19/ /8/ /28/ /22/ /9/ /8/ /28/ /28/ /1/ /8/ /26/ /16/ /1/ /28/ /17/ /26/ /8/ /28/ /19/ /8/ /28/ /27/93 3 4/16/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED CONT SELL Sell on approximately 4/9 - Exit on approximately 4/17 SELL Corn(CBOT) December Contract Size: 5, bushels 27 4/9/ /17/ /17/7 35 4/13/ /1/ /17/ /13/ /11/ /11/ /15/ /13/ /14/ /12/ /16/ /15/ /9/ /17/ /14/ /9/ /17/ /15/ /9/ /17/ /1/ /16/ /1/ /17/ /11/ /13/ /9/ /16/ /12/ /15/ /9/ /17/ /14/ /9/ /17/ /16/ /1/ /9/ /17/ /16/ /1/ /1/ /17/ /17/95 3 4/11/ /11/ /15/ /14/ /13/ /12/ /16/ /16/ Percentage Correct 1 Average Profit on Winning Trades Winners 15 Average Loss on Trades Losers Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables MOORE RESEARCH CENTER, INC. 19

22 CONT SELL Sell on approximately 4/25 - Exit on approximately 6/27 SELL Corn(CBOT) July Contract Size: 5, bushels 27 4/25/ /27/ /27/7 19 6/15/ /25/ /27/ /26/ /17/ /25/ /27/ /13/ /2/ /26/ /25/ /22/ /3/ /25/ /27/ /28/ /15/ /25/ /27/ /29/ /27/ /25/ /27/ /25/1 95 5/4/ /25/ /27/ /26/ /3/ /26/ /25/ /24/ /13/ /27/ /26/ /1/ /6/ /25/ /27/ /27/ /1/ /25/ /27/ /5/ /17/ /25/ /27/ /15/ /19/ /25/ /27/ /27/ /17/ /26/ /25/ /15/ /3/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables CONT Buy "Red" Jul Corn(CBOT) / Sell Sep Corn(CBOT) Enter on approximately 4/26 - Exit on approximately 8/6 28 4/26/ /6/ /1/ /15/ /26/ /4/ /26/ /28/ /26/ /5/ /5/ /18/ /26/4 3. 8/6/ /6/ /3/ /28/ /6/ /1/ /15/ /26/ /6/ /6/ /5/ /26/ /6/ /3/ /17/ /26/ /4/ /2/ 65 5/5/ /26/ /6/ /15/ /29/ /27/ /6/ /6/ /28/ /6/ /28/ /26/ /6/ /22/ /17/ /26/ /4/ /16/ /25/ /26/ /5/ /1/ /1/ /26/ /6/ /21/ /26/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED 2 HISTORICAL GRAINS REPORT

23 CONT BUY Buy on approximately 5/1 - Exit on approximately 5/18 BUY Corn(CBOT) September Contract Size: 5, bushels 27 5/1/ /18/ /16/ /1/ /18/ /17/ /1/ /18/ /18/ /13/ /1/ /18/ /11/ /18/ /12/ /16/ /15/ /14/ /1/ /17/ /15/ /1/ /18/ /14/ /11/ /1/ /18/ /12/ 1 5/17/ /1/ /18/ /13/ /11/ /18/ /13/98 5 5/12/ /12/ /16/ /16/ /15/ /1/ /17/ /16/ /1/ /18/ /18/ /15/ /1/ /18/ /18/ /1/ /18/ /12/ Percentage Correct 8 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED CONT Buy Dec Corn(CBOT) / Sell Jul Corn(CBOT) Enter on approximately 5/19 - Exit on approximately 6/ /21/ /14/ /12/ /31/ /19/ /14/ /1/ /22/ /19/ /14/ /1/5 1 5/23/ /19/ /14/ /14/4 75 5/2/ /19/ /13/ /5/ /2/ /14/ /3/ /21/ /14/ /4/ /8/ /19/ /14/ /9/ 75. 5/24/ /19/ /14/ /24/ /19/ /12/ /5/ /19/ /13/ /27/ /2/ /14/ /5/ /21/ /19/ /14/ /7/ /19/ /14/ /23/ /7/ /19/ /14/ /9/ Percentage Correct 93 Average Profit on Winning Trades Winners 14 Average Loss on Trades Losers 1 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables MOORE RESEARCH CENTER, INC. 21

24 CONT Buy Dec Corn(CBOT) / Sell Sep Corn(CBOT) Enter on approximately 5/2 - Exit on approximately 8/2 27 5/21/7-1. 8/2/ /13/7 95 5/31/ /22/ /18/ /1/ /2/ /19/ /5/ /23/ /2/4-3. 8/2/ /1/ /21/ /2/3.25 8/2/ /12/ /3/ /2/2 9. 8/2/ /13/ /11/ /21/ /2/ /16/ /21/ /22/ /18/ /9/ /26/ /2/ /2/ /13/ /24/ /2/ /2/ /18/ /8/ /2/ /2/ /13/ /16/ /2/ /2/ /19/ /22/ /18/ /7/ /17/ /2/ /19/ /3/94 5 6/7/ /2/ /2/ /1/93 2 8/16/ Percentage Correct 93 Average Profit on Winning Trades Winners 14 Average Loss on Trades Losers 1 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables CONT SELL Sell on approximately 5/21 - Exit on approximately 6/29 SELL Corn(CBOT) September Contract Size: 5, bushels 27 5/21/ /29/ /29/ /15/ /22/ /29/ /26/ /2/ /23/ /29/ /1/5 6 6/2/ /21/ /29/ /22/ /1/ /21/ /27/ /26/ /12/ /21/ /28/ /24/ /27/ /21/ /29/ /25/ /1/ /22/ /29/ /28/ /21/ /29/ /28/ /8/ /21/ /29/ /1/ /24/ /21/ /27/ /27/ /21/ /28/ /5/ /24/ /22/ /29/ /19/ /23/ /29/ /27/ /17/ /21/ /29/ /15/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED 22 HISTORICAL GRAINS REPORT

25 CONT Buy "Red" Jul Corn(CBOT) / Sell Sep Corn(CBOT) Enter on approximately 5/21 - Exit on approximately 7/2 28 5/21/ /2/ /29/7 11 6/15/ /22/ /3/ /23/ /23/ /1/ /13/ /24/ /21/ /2/ /1/ /21/ /2/ /2/ /3/ /21/ /2/ /28/ /27/ /21/ /2/ /3/ /21/ /22/ /3/ /3/ /21/ /2/ /2/ /22/ /21/ /2/ /3/98 1 6/5/ /21/ /2/ /3/ /12/ /21/ /2/ /2/ /22/ /3/ /19/ /23/ /1/ /1/ /1/ /21/ /2/ /21/ Percentage Correct 93 Average Profit on Winning Trades Winners 14 Average Loss on Trades Losers 1 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED CONT SELL Sell on approximately 6/2 - Exit on approximately 6/29 SELL Corn(CBOT) July Contract Size: 5, bushels 27 6/4/ /29/ /29/ /15/ /2/ /29/ /26/ /2/ /29/ /1/5 35 6/2/ /2/ /29/ /22/ /2/ /27/ /26/ /12/ /3/ /28/ /11/ /27/ /4/ /29/ /25/ /11/ /2/ /29/ /28/ /2/ /29/ /29/ /3/ /2/ /29/ /1/ /24/ /2/ /27/ /27/ /3/ /3/ /28/ /5/ /28/ /2/ /29/ /27/ /19/ /2/ /29/ /29/ /17/ /2/ /29/ /15/ /7/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables MOORE RESEARCH CENTER, INC. 23

26 CONT SELL Sell on approximately 6/9 - Exit on approximately 8/7 SELL Corn(CBOT) September Contract Size: 5, bushels 27 6/11/ /7/ /23/ /15/ /9/ /7/ /26/ /12/ /9/ /5/ /1/ /18/ /9/ /6/ /3/ /9/ /7/ /23/ /12/ /1/ /7/ /11/ /5/ /11/ /7/ /25/1 7 7/12/ /9/ /7/ /7/ /9/ /6/ /13/ /9/ /7/ /6/ /24/ /9/ /7/ /7/ /1/ /1/96 4 8/7/ /7/ /12/ /9/ /7/ /27/ /25/ /9/ /5/ /21/ /17/ /9/ /6/ /15/93 3 7/6/ Percentage Correct 8 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables CONT Buy May Corn(CBOT) / Sell Sep Corn(CBOT) Enter on approximately 6/13 - Exit on approximately 8/ /13/ /27/ /13/ /15/ /13/ /25/ /15/6 45 6/14/ /13/ /26/ /26/ /15/ /14/ /27/ /12/ /16/ /13/ /27/ /8/ /18/ /13/ /27/ /2/ /14/ /13/ /27/ /24/ /17/ /13/ 27. 8/25/ /2/ /14/ /27/ /27/99 4 6/21/ /15/ /27/ /27/ /18/ /13/ /27/ /22/ /13/ /27/ /27/ /8/ /13/ /25/ /27/95 5 7/25/ /13/ /26/ /11/ /14/ /27/ /21/93 1 7/26/93-2 Percentage Correct 93 Average Profit on Winning Trades Winners 14 Average Loss on Trades Losers 1 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED 24 HISTORICAL GRAINS REPORT

27 CONT Buy May Corn(CBOT) / Sell Dec Corn(CBOT) Enter on approximately 6/13 - Exit on approximately 9/ /13/ /21/ /17/ /15/ /13/ /21/ /15/ /16/ /13/ /21/ /21/ /15/ /14/ /21/ /17/ /13/ /19/ /23/ /4/ /13/2 1 9/2/ /18/2 1 8/14/ /13/ /21/ /19/1 1 7/17/ /13/ /21/ /21/ /14/ /21/ /9/ /18/ /15/ /21/ /17/ /24/ /13/ /19/ /25/ /13/ /2/ /22/ /17/ /13/ /21/ /14/ /14/ /13/ /21/ /19/ /17/ /14/ /21/ /1/ /16/ Percentage Correct 1 Average Profit on Winning Trades Winners 15 Average Loss on Trades Losers Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED CONT SELL Sell on approximately 6/19 - Exit on approximately 6/29 SELL Corn(CBOT) July Contract Size: 5, bushels 27 6/19/ /29/ /29/ /19/ /29/ /26/ /21/ /2/ /29/ /29/ /21/ /29/ /22/ /25/ /19/ /27/ /26/ /19/ /28/ /27/ /19/ /29/ /25/ /19/ /29/ /28/ /21/ /29/ /29/ /19/ /29/ /29/ /24/ /19/ /27/ /27/ /2/ /19/ /28/ /24/ /28/ /19/ /29/ /27/ /2/ /29/ /29/ /21/ /29/ /29/ /24/93-1 Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables MOORE RESEARCH CENTER, INC. 25

28 CONT SELL Sell on approximately 7/12 - Exit on approximately 8/1 SELL Corn(CBOT) September Contract Size: 5, bushels 27 7/12/ /1/ /23/ /13/ /12/ /1/ /26/ /12/ /1/ /25/5 25 7/18/ /12/ /3/ /3/ /14/ /1/ /23/ /12/ /1/ /24/ /12/ /1/ /2/ /12/ /1/ /17/ /21/ /12/ /3/ /13/ /23/ /13/ /31/ /31/ /14/ /1/ /25/ /1/ /12/ /1/ /26/ /12/ /1/ /31/ /25/ /12/ /1/ /21/ /13/ /12/ /3/ /13/ /27/ Percentage Correct 8 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED Corn Strategy Tables CONT SELL Sell on approximately 7/17 - Exit on approximately 7/23 SELL Corn(CBOT) December Contract Size: 5, bushels 27 7/17/ /23/ /23/ /18/ /17/ /21/ /21/ /18/5 27 7/22/ /21/ /19/ /23/ /22/ /17/ /23/ /18/ /21/ /17/ /23/ /22/ /17/ /23/ /2/ /17/ /21/ /21/ /19/ /23/ /23/ /17/ /23/ /23/ /17/ /23/ /21/ /18/ /17/ /23/ /22/ /17/ /21/ /2/ /18/ /22/ /22/ /19/ /23/ /21/ Percentage Correct 8 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED 26 HISTORICAL GRAINS REPORT

29 CONT SELL Sell on approximately 8/24 - Exit on approximately 9/16 SELL Corn(CBOT) December Contract Size: 5, bushels 27 8/24/ /14/ /6/ /24/ /15/ /14/6 35 8/31/ /24/ /16/ /16/ /24/ /16/ /16/ /1/ /25/ /16/ /16/ /4/ /26/ /16/ /29/2 4 9/11/ /24/ /14/ /14/1 2 8/31/ /24/ /15/ /15/ 25. 9/5/ /24/ /16/ /15/ /7/ /24/ /16/ /31/ /25/ /16/ /8/ /26/ /16/ /16/ /27/ /24/ /15/ /15/ /24/ /16/ /16/ /7/ /24/ /16/ /7/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED CONT Buy "Red" Dec Corn(CBOT) / Sell Dec Corn(CBOT) Enter on approximately 8/25 - Exit on approximately 1/3 28 8/27/ /3/ /6/7 5 9/27/ /25/ /3/ /21/ /25/ /3/ /3/ /25/ /1/ /3/ /1/ /25/ /3/ /3/ /4/ /26/ /3/ /3/ /11/ /27/ /3/ /2/ /31/ /25/ /3/ /19/ 1 8/29/ /25/ /1/ /1/ /25/ /2/ /15/ /25/ /3/ /3/ /26/ /3/ /3/ /25/ /3/ /29/ /25/ /3/ /3/ /6/ /25/ /1/ /1/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 S OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED MOORE RESEARCH CENTER, INC. 27 Corn Strategy Tables