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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   31 36 36 38 38 38 38 38 38 38 38
Closed Higher   12 18 16 22 21 17 18 14 14 17 18
Exceeded High   9 14 10 20 13 8 11 12 10 13 13
Scenario Percentage   75% 78% 63% 91% 62% 47% 61% 86% 71% 76% 72%
Avg Max Increase   12.90% 9.27% 10.39% 10.80% 10.15% 7.06% 11.36% 11.73% 11.09% 9.45% 8.89%
Max Increase   24.52% 21.14% 21.88% 36.29% 20.50% 14.90% 39.34% 33.21% 27.04% 23.85% 19.33%
Avg Days To Max Increase   12 18 19 15 17 10 11 15 16 11 8
Avg Max Decline   0.05% -4.27% -4.01% -2.27% -0.61% -2.05% -1.52% -2.42% -4.09% -2.65% -1.68%
Max Decline   -2.19% -7.41% -13.02% -10.00% -3.61% -6.85% -5.90% -8.72% -10.28% -8.53% -6.88%
Avg Days to Max Decline   5 10 11 6 6 4 6 6 18 6 2
2012 Contract Condition     Yes Yes   Yes       Yes Yes  
Action     Yes No   No       Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   31 36 36 38 38 38 38 38 38 38 38
Closed Lower   19 18 20 16 16 20 20 23 24 20 20
Penetrated Low   16 12 10 13 13 15 13 20 18 12 9
Scenario Percentage   84% 67% 50% 81% 81% 75% 65% 87% 75% 60% 45%
Avg Max Decline   9.04% 8.53% 9.59% 10.17% 8.58% 9.03% 9.62% 10.04% 10.73% 11.52% 6.17%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 11.85%
Avg Days To Max Decline   15 18 20 24 16 18 22 18 19 17 9
Avg Max Increase   -1.69% -2.71% -3.79% -3.91% -3.37% -2.53% -3.93% -2.40% -2.87% -3.54% -1.00%
Max Increase   -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -2.80%
Avg Days to Max Increase   4 9 7 14 10 16 13 7 7 8 3
2012 Contract Condition   Yes     Yes   Yes Yes Yes     Yes
Action   No     Yes   Yes Yes No     Not Yet
High 421.25 427.00 388.00 405.00 388.50 360.25 352.00 322.25 318.00 324.00 350.00 345.50
Low 373.00 358.00 362.50 359.50 341.00 337.50 290.00 299.50 281.50 294.00 281.50 318.50
Close/Last 421.25 364.00 374.50 388.50 346.50 351.50 317.00 313.25 292.75 314.50 341.25 336.75

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