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MRCI's ScenarioSM Study
ScenarioSM Study for December Corn(CBOT) as of Sep 30, 2006
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 35 45 45 45 45 45 45 45 45 45 45
Closed Higher 18 24 25 19 21 19 15 24 15 17 22
Exceeded High 17 18 21 16 17 14 11 16 11 9 9
Scenario Percentage 94% 75% 84% 84% 81% 74% 73% 67% 73% 53% 41%
Avg Max Increase 6.56% 6.23% 7.45% 14.53% 13.67% 11.93% 11.82% 6.35% 9.40% 6.00% 4.44%
Max Increase 19.16% 15.57% 37.39% 62.47% 50.71% 37.37% 25.90% 13.70% 17.67% 12.80% 17.37%
Avg Days To Max Increase 19 13 16 18 14 12 15 15 17 11 8
Avg Max Decline -1.22% -1.73% -1.21% -2.05% -2.71% -1.15% -2.95% -2.83% -2.59% -1.70% -0.43%
Max Decline -3.29% -5.76% -6.85% -6.87% -6.10% -6.27% -12.19% -11.79% -9.22% -6.88% -1.83%
Avg Days to Max Decline 10 7 12 10 7 6 7 13 12 5 2
2006 Contract Condition Yes Yes Yes Yes Yes       Yes    
Action Yes Yes Yes Yes No       Not Yet    
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 35 45 45 45 45 45 45 45 45 45 45
Closed Lower 17 21 20 26 24 26 30 21 30 27 23
Penetrated Low 16 15 17 24 21 22 24 17 24 20 16
Scenario Percentage 94% 71% 85% 92% 88% 85% 80% 81% 80% 74% 70%
Avg Max Decline 4.74% 4.57% 5.98% 7.83% 9.33% 10.43% 6.15% 4.91% 6.21% 6.08% 11.40%
Max Decline 17.02% 10.02% 12.32% 18.00% 24.31% 17.55% 13.47% 11.98% 13.59% 13.22% 62.48%
Avg Days To Max Decline 17 18 15 20 23 17 17 14 20 11 10
Avg Max Increase -1.68% -2.34% -2.43% -2.07% -3.99% -1.94% -1.90% -1.37% -2.22% -1.88% -1.39%
Max Increase -5.97% -7.38% -7.08% -9.30% -18.17% -17.80% -11.02% -4.37% -5.13% -4.64% -3.20%
Avg Days to Max Increase 11 11 11 9 11 4 9 7 10 6 3
2006 Contract Condition           Yes Yes Yes      
Action           Yes Yes Not Yet      
High 256.00 264.75 270.00 275.00 287.25 285.75 284.50 265.75 267.75    
Low 241.25 252.50 249.25 262.75 259.50 247.75 251.00 233.50 236.00    
Close/Last 255.75 264.25 268.00 271.75 277.00 260.25 256.00 248.00 262.50