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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 23 32 34 34 35 35 35 35 35 35 35
Closed Higher 7 18 18 16 17 12 13 14 20 17 15
Exceeded High 5 15 12 12 9 10 9 12 13 13 8
Scenario Percentage 71% 83% 67% 75% 53% 83% 69% 86% 65% 76% 53%
Avg Max Increase 7.97% 8.32% 8.16% 5.70% 12.46% 10.90% 10.63% 10.25% 24.53% 20.19% 9.19%
Max Increase 13.29% 33.88% 20.81% 16.97% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 17.02%
Avg Days To Max Increase 16 13 15 12 14 11 12 14 14 11 9
Avg Max Decline -2.21% -1.46% -1.75% -1.75% -0.40% -1.73% -0.95% -2.44% -2.19% -2.58% -1.01%
Max Decline -3.91% -5.37% -11.62% -6.45% -2.76% -3.46% -4.33% -7.63% -7.48% -7.86% -7.66%
Avg Days to Max Decline 9 6 10 7 5 8 8 7 7 3 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 23 32 34 34 35 35 35 35 35 35 35
Closed Lower 15 14 16 18 18 22 22 21 15 18 20
Penetrated Low 8 10 10 14 12 19 16 11 13 14 11
Scenario Percentage 53% 71% 62% 78% 67% 86% 73% 52% 87% 78% 55%
Avg Max Decline 10.30% 10.02% 8.58% 7.15% 9.19% 8.84% 8.70% 13.32% 10.54% 10.32% 6.84%
Max Decline 35.68% 34.36% 20.04% 12.85% 22.08% 20.60% 17.14% 24.67% 21.82% 29.28% 13.84%
Avg Days To Max Decline 25 20 14 19 19 16 19 21 19 8 9
Avg Max Increase -2.69% -4.08% -2.35% -2.27% -2.71% -1.74% -1.92% -3.61% -5.06% -3.92% -2.86%
Max Increase -7.04% -9.40% -6.10% -7.40% -9.29% -8.43% -6.95% -9.12% -12.22% -11.57% -13.04%
Avg Days to Max Increase 14 17 10 14 8 4 9 14 15 6 3
2009 Contract Condition Yes Yes Yes Yes Yes Yes Yes Yes     Yes
Action Yes Yes Yes Yes Yes Yes No Yes     Not Yet
High 442.00 404.25 362.00 285.25 254.00 250.00 224.50 211.25 212.75 260.00 264.00
Low 402.00 356.50 260.00 234.00 217.50 216.00 178.25 189.25 181.00 197.50 195.50
Close/Last 404.25 356.50 272.00 236.50 228.75 224.50 203.00 202.50 203.00 251.00 214.75

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