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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 23 19 16 22 16 23 20 20 22 22
Exceeded High   17 19 15 12 14 14 15 12 16 16 15
Scenario Percentage   89% 83% 79% 75% 64% 88% 65% 60% 80% 73% 68%
Avg Max Increase   13.76% 13.42% 15.45% 13.18% 8.21% 12.41% 8.00% 8.72% 9.11% 6.97% 2.29%
Max Increase   56.84% 45.67% 70.21% 29.19% 32.23% 42.96% 17.55% 29.33% 27.63% 16.19% 5.81%
Avg Days To Max Increase   17 14 13 17 15 16 22 14 18 9 5
Avg Max Decline   -2.31% -2.38% -1.09% -2.82% -2.94% -3.44% -2.12% -2.67% -2.37% -1.90% -1.35%
Max Decline   -5.95% -5.76% -6.16% -11.73% -11.20% -9.57% -12.56% -9.73% -5.89% -8.05% -5.01%
Avg Days to Max Decline   11 7 5 7 13 9 12 7 10 6 2
2011 Contract Condition   Yes     Yes Yes Yes Yes   Yes Yes Yes
Action   Yes     Yes Yes Yes Yes   Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 22 26 29 23 29 22 24 25 23 22
Penetrated Low   22 20 22 23 17 23 18 17 18 18 7
Scenario Percentage   96% 91% 85% 79% 74% 79% 82% 71% 72% 78% 32%
Avg Max Decline   7.38% 9.05% 10.16% 7.13% 6.85% 7.71% 8.41% 7.19% 6.22% 5.48% 2.73%
Max Decline   15.47% 22.39% 16.96% 19.56% 37.09% 30.45% 27.13% 21.39% 24.80% 20.24% 4.47%
Avg Days To Max Decline   21 22 17 19 17 22 17 14 16 10 5
Avg Max Increase   -3.07% -3.96% -2.31% -2.38% -1.27% -2.27% -2.05% -1.55% -1.68% -1.54% -1.22%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -3.22% -5.15% -6.87% -3.39%
Avg Days to Max Increase   10 11 6 7 5 10 8 11 9 6 3
2011 Contract Condition     Yes Yes         Yes      
Action     Yes No         No      
High 425.00 406.75 410.25 399.75 420.50 458.25 541.00 598.00 619.00 630.00 667.00 724.25
Low 387.00 380.50 384.50 356.75 383.00 412.25 451.00 466.00 520.25 542.50 595.00 655.75
Close/Last 388.00 405.00 392.75 386.50 418.75 452.25 508.25 595.00 544.00 629.00 659.50 722.50

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