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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of Jan 01, 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 28 33 33 35 35 35 35 35 35 35 35
Closed Higher 11 16 14 20 18 17 16 13 13 16 18
Exceeded High 8 12 9 18 11 8 10 11 9 13 13
Scenario Percentage 73% 75% 64% 90% 61% 47% 62% 85% 69% 81% 72%
Avg Max Increase 12.41% 8.37% 9.82% 10.47% 11.11% 7.06% 11.65% 12.17% 11.04% 9.45% 8.89%
Max Increase 24.52% 18.48% 21.88% 36.29% 20.50% 14.90% 39.34% 33.21% 27.04% 23.85% 19.33%
Avg Days To Max Increase 13 17 18 16 18 10 11 16 15 11 8
Avg Max Decline 0.15% -4.30% -3.51% -2.09% -0.54% -2.05% -1.09% -2.59% -3.41% -2.65% -1.68%
Max Decline -2.19% -7.41% -13.02% -10.00% -3.61% -6.85% -4.39% -8.72% -8.58% -8.53% -6.88%
Avg Days to Max Decline 5 9 11 7 6 4 6 7 19 6 2
2009 Contract Condition Yes                   Yes
Action 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 28 33 33 35 35 35 35 35 35 35 35
Closed Lower 17 17 19 15 16 17 19 21 22 18 17
Penetrated Low 15 12 10 12 13 13 12 19 16 11 11
Scenario Percentage 88% 71% 53% 80% 81% 76% 63% 90% 73% 61% 65%
Avg Max Decline 8.80% 8.53% 9.59% 9.65% 8.58% 8.20% 9.57% 9.87% 9.96% 11.89% 17.67%
Max Decline 22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 41.00%
Avg Days To Max Decline 14 18 20 24 16 18 22 17 19 18 16
Avg Max Increase -1.54% -2.71% -3.79% -3.91% -3.37% -2.43% -4.13% -2.31% -2.89% -3.34% -4.69%
Max Increase -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -16.94%
Avg Days to Max Increase 5 9 7 13 10 14 13 6 7 8 6
2009 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes  
Action   Yes Yes Yes Yes Yes Yes Yes No Yes  
High 496.00 510.00 432.50 401.00 351.50 274.25 245.50 240.25 214.50 202.50 203.00
Low 425.00 429.50 386.75 345.00 248.50 223.00 206.25 206.25 170.25 179.00 172.00
Close/Last 496.00 429.50 392.25 345.00 261.00 226.00 219.25 215.00 194.00 193.00 194.00

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