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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Feb Feb Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 29 31 34 34 34 34 34 34 34 34
Closed Higher   11 15 14 13 15 14 21 15 13 13 14
Exceeded High   7 11 9 11 10 12 12 10 10 8 8
Scenario Percentage   64% 73% 64% 85% 67% 86% 57% 67% 77% 62% 57%
Avg Max Increase   6.82% 5.35% 13.46% 9.58% 10.06% 10.23% 23.42% 24.04% 12.64% 10.95% 5.26%
Max Increase   10.82% 11.80% 37.56% 33.14% 30.95% 24.88% 134.52% 111.54% 22.22% 19.21% 8.28%
Avg Days To Max Increase   15 12 15 16 18 16 16 18 12 10 7
Avg Max Decline   -2.46% -0.95% -0.96% -2.20% -2.44% -1.42% -1.26% -4.40% -2.16% -4.55% -0.97%
Max Decline   -9.91% -5.49% -4.62% -7.37% -10.26% -7.07% -6.68% -12.38% -10.46% -8.82% -2.96%
Avg Days to Max Decline   8 8 4 11 8 9 7 6 5 6 2
2008 Contract Condition       Yes Yes Yes   Yes   Yes    
Action       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 Feb Feb Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 29 31 34 34 34 34 34 34 34 34
Closed Lower   11 14 16 21 18 20 13 19 21 21 20
Penetrated Low   9 11 11 16 13 12 11 18 16 13 2
Scenario Percentage   82% 79% 69% 76% 72% 60% 85% 95% 76% 62% 10%
Avg Max Decline   4.31% 6.94% 6.88% 7.75% 9.18% 9.81% 10.11% 12.80% 14.34% 10.31% 5.57%
Max Decline   11.75% 12.68% 15.51% 16.55% 15.31% 18.40% 19.38% 28.78% 30.34% 22.01% 8.18%
Avg Days To Max Decline   12 20 20 17 20 17 20 20 19 16 9
Avg Max Increase   -3.01% -1.35% -2.12% -1.90% -1.48% -2.56% -4.85% -4.60% -3.16% -2.14% 0.09%
Max Increase   -12.59% -4.82% -4.22% -8.70% -6.27% -7.55% -11.79% -20.37% -11.37% -8.21% 0.00%
Avg Days to Max Increase   10 8 9 5 12 11 11 11 6 5 1
2008 Contract Condition             Yes   Yes   Yes Yes
Action             No   Yes   Yes Yes
High     313.00 323.50 350.00 451.00 466.00 422.00 434.75 458.00 474.25 389.75
Low     309.00 301.00 323.50 350.00 358.00 380.50 386.50 389.00 375.50 336.25
Close/Last     309.00 323.50 350.00 451.00 390.00 398.00 394.00 456.00 377.50 345.25

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