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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Corn(CBOT) as of Apr 30, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
20 |
16 |
21 |
22 |
24 |
21 |
23 |
24 |
16 |
23 |
17 |
| Exceeded High |
13 |
14 |
13 |
13 |
18 |
17 |
17 |
22 |
13 |
16 |
11 |
| Scenario Percentage |
65% |
88% |
62% |
59% |
75% |
81% |
74% |
92% |
81% |
70% |
65% |
| Avg Max Increase |
6.06% |
8.90% |
7.56% |
9.41% |
7.87% |
8.32% |
7.02% |
6.88% |
13.42% |
11.90% |
6.46% |
| Max Increase |
10.89% |
38.35% |
16.30% |
28.80% |
28.71% |
16.78% |
26.54% |
30.33% |
51.63% |
60.09% |
9.79% |
| Avg Days To Max Increase |
14 |
16 |
21 |
16 |
17 |
22 |
13 |
14 |
20 |
11 |
8 |
| Avg Max Decline |
-2.57% |
-2.32% |
-1.38% |
-1.97% |
-1.96% |
-1.79% |
-2.66% |
-2.07% |
-2.41% |
-3.02% |
-0.02% |
| Max Decline |
-9.08% |
-8.83% |
-3.62% |
-7.16% |
-8.20% |
-4.31% |
-9.29% |
-10.79% |
-6.45% |
-10.06% |
-1.31% |
| Avg Days to Max Decline |
14 |
9 |
12 |
12 |
9 |
11 |
9 |
9 |
11 |
5 |
2 |
| 2010 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
| Action |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
Not Yet |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
39 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
19 |
29 |
24 |
23 |
21 |
23 |
21 |
21 |
29 |
22 |
27 |
| Penetrated Low |
12 |
23 |
17 |
16 |
15 |
22 |
15 |
16 |
26 |
17 |
18 |
| Scenario Percentage |
63% |
79% |
71% |
70% |
71% |
96% |
71% |
76% |
90% |
77% |
67% |
| Avg Max Decline |
7.01% |
6.78% |
7.13% |
7.03% |
4.73% |
5.52% |
4.64% |
7.21% |
8.70% |
7.94% |
8.89% |
| Max Decline |
35.76% |
29.27% |
26.37% |
22.48% |
22.89% |
18.80% |
9.21% |
11.48% |
20.84% |
22.44% |
35.74% |
| Avg Days To Max Decline |
16 |
21 |
14 |
13 |
17 |
16 |
15 |
15 |
22 |
12 |
11 |
| Avg Max Increase |
-1.77% |
-1.87% |
-1.43% |
-1.25% |
-1.58% |
-1.62% |
-1.88% |
-2.18% |
-3.65% |
-2.05% |
-2.04% |
| Max Increase |
-4.02% |
-4.53% |
-6.15% |
-2.76% |
-4.29% |
-3.97% |
-4.43% |
-5.07% |
-16.67% |
-9.22% |
-12.69% |
| Avg Days to Max Increase |
6 |
10 |
7 |
7 |
10 |
8 |
7 |
13 |
13 |
5 |
5 |
| 2010 Contract Condition |
Yes |
|
|
|
Yes |
Yes |
|
Yes |
|
|
|
| Action |
Yes |
|
|
|
Yes |
Yes |
|
Yes |
|
|
|
| High |
406.00 |
379.00 |
439.25 |
441.75 |
439.25 |
444.25 |
401.75 |
402.25 |
377.75 |
|
|
| Low |
343.75 |
333.75 |
358.00 |
390.50 |
400.00 |
375.75 |
368.75 |
355.00 |
351.50 |
|
|
| Close/Last |
359.25 |
373.75 |
396.50 |
435.75 |
433.00 |
377.50 |
399.75 |
356.50 |
375.25 |
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