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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Corn(CBOT) as of Sep 10, 2010 |
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 |
| Tested Years |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
15 |
15 |
21 |
16 |
22 |
19 |
22 |
21 |
22 |
23 |
18 |
| Exceeded High |
12 |
11 |
13 |
13 |
15 |
13 |
18 |
16 |
16 |
22 |
15 |
| Scenario Percentage |
80% |
73% |
62% |
81% |
68% |
68% |
82% |
76% |
73% |
96% |
83% |
| Avg Max Increase |
12.94% |
11.30% |
6.21% |
11.17% |
7.82% |
9.22% |
8.29% |
8.39% |
7.21% |
6.26% |
5.77% |
| Max Increase |
64.95% |
23.43% |
11.88% |
41.11% |
17.13% |
28.57% |
28.07% |
16.47% |
30.76% |
24.82% |
19.70% |
| Avg Days To Max Increase |
10 |
17 |
14 |
16 |
20 |
14 |
18 |
23 |
11 |
7 |
8 |
| Avg Max Decline |
-0.61% |
-2.74% |
-2.81% |
-3.01% |
-1.21% |
-2.42% |
-2.34% |
-2.10% |
-2.65% |
-1.49% |
-1.10% |
| Max Decline |
-4.17% |
-10.75% |
-10.29% |
-9.93% |
-2.88% |
-8.72% |
-9.03% |
-5.24% |
-9.53% |
-10.93% |
-5.25% |
| Avg Days to Max Decline |
4 |
7 |
14 |
11 |
12 |
7 |
11 |
16 |
8 |
7 |
3 |
| 2010 Contract Condition |
|
|
|
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
38 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
23 |
30 |
24 |
29 |
22 |
25 |
22 |
24 |
23 |
22 |
27 |
| Penetrated Low |
21 |
24 |
17 |
23 |
16 |
18 |
16 |
23 |
15 |
16 |
19 |
| Scenario Percentage |
91% |
80% |
71% |
79% |
73% |
72% |
73% |
96% |
65% |
73% |
70% |
| Avg Max Decline |
9.97% |
6.55% |
6.73% |
6.81% |
7.85% |
6.65% |
5.90% |
5.79% |
5.23% |
6.37% |
10.25% |
| Max Decline |
18.43% |
19.10% |
36.47% |
29.80% |
26.70% |
22.00% |
24.08% |
19.54% |
13.19% |
11.33% |
41.97% |
| Avg Days To Max Decline |
19 |
20 |
15 |
23 |
16 |
14 |
16 |
18 |
16 |
10 |
12 |
| Avg Max Increase |
-2.23% |
-2.08% |
-1.10% |
-2.13% |
-1.84% |
-1.53% |
-1.82% |
-1.90% |
-1.86% |
-1.33% |
-2.35% |
| Max Increase |
-13.32% |
-9.45% |
-3.88% |
-4.86% |
-5.93% |
-3.33% |
-4.64% |
-6.59% |
-4.53% |
-5.66% |
-12.57% |
| Avg Days to Max Increase |
6 |
9 |
3 |
11 |
9 |
8 |
10 |
8 |
5 |
8 |
4 |
| 2010 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
Yes |
Yes |
|
Yes |
|
| Action |
Yes |
Yes |
Yes |
|
|
|
Yes |
Yes |
|
Yes |
|
| High |
490.25 |
393.50 |
398.25 |
370.50 |
432.75 |
434.50 |
431.00 |
436.00 |
391.00 |
392.00 |
370.00 |
| Low |
388.00 |
338.50 |
335.00 |
325.00 |
350.00 |
382.00 |
390.00 |
366.25 |
359.00 |
344.00 |
343.50 |
| Close/Last |
388.25 |
371.75 |
351.25 |
365.75 |
388.25 |
427.25 |
424.25 |
367.75 |
389.00 |
345.00 |
366.25 |
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