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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Oats(CBOT) as of Jan 01, 2009
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   27 32 32 33 33 34 34 34 34 34 34
Closed Higher   14 10 11 15 15 18 18 16 16 13 12
Exceeded High   9 8 8 11 10 16 11 10 9 8 8
Scenario Percentage   64% 80% 73% 73% 67% 89% 61% 63% 56% 62% 67%
Avg Max Increase   19.95% 23.12% 14.00% 10.40% 10.97% 12.25% 12.92% 6.54% 13.12% 14.48% 4.91%
Max Increase   106.02% 87.15% 23.03% 22.90% 29.72% 38.56% 22.99% 13.66% 38.14% 33.18% 12.02%
Avg Days To Max Increase   16 19 16 18 15 15 15 7 13 8 8
Avg Max Decline   -1.30% -3.02% 0.07% -4.77% -1.79% -2.59% -1.70% -1.93% -1.37% -1.76% -0.05%
Max Decline   -7.25% -8.45% -3.13% -8.31% -6.45% -8.31% -8.64% -6.60% -4.44% -6.73% -3.48%
Avg Days to Max Decline   9 5 6 7 7 6 10 3 8 4 3
2008 Contract Condition     Yes   Yes   Yes Yes   Yes Yes Yes
Action     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   27 32 32 33 33 34 34 34 34 34 34
Closed Lower   12 22 21 18 18 15 16 18 17 20 21
Penetrated Low   12 20 17 12 11 11 10 13 11 15 6
Scenario Percentage   100% 91% 81% 67% 61% 73% 63% 72% 65% 75% 29%
Avg Max Decline   7.89% 11.73% 10.71% 8.85% 6.55% 7.02% 8.57% 8.41% 8.24% 9.66% 6.25%
Max Decline   15.94% 26.25% 24.78% 20.59% 14.57% 17.97% 16.67% 21.81% 16.79% 21.25% 19.23%
Avg Days To Max Decline   18 22 18 22 18 23 15 17 21 15 8
Avg Max Increase   -3.08% -3.51% -2.52% -3.61% -3.90% -5.42% -3.46% -2.95% -4.17% -2.34% -1.10%
Max Increase   -7.84% -15.38% -10.14% -10.30% -9.78% -11.80% -8.44% -7.22% -8.22% -6.30% -2.95%
Avg Days to Max Increase   14 9 7 9 9 15 10 15 14 4 1
2008 Contract Condition   Yes   Yes   Yes     Yes      
Action   Yes   Yes   No     Yes      
High 265.25 266.50 280.00 299.25 283.00 281.75 299.00 303.00 314.25 314.50 351.00 423.75
Low 250.00 253.50 252.50 272.00 249.75 258.75 265.50 280.00 277.75 275.00 303.75 323.00
Close/Last 260.00 259.00 280.00 273.00 277.00 265.75 299.00 301.00 283.00 306.75 329.25 422.00

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