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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Oats(CBOT) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 30 32 35 35 35 35 35 35 35 35
Closed Higher   11 15 14 13 15 14 22 16 13 13 15
Exceeded High   7 11 9 11 10 12 13 11 10 9 8
Scenario Percentage   64% 73% 64% 85% 67% 86% 59% 69% 77% 69% 53%
Avg Max Increase   6.82% 5.35% 13.46% 9.58% 10.06% 10.23% 23.85% 22.30% 12.64% 11.36% 7.34%
Max Increase   10.82% 11.80% 37.56% 33.14% 30.95% 24.88% 134.52% 111.54% 22.22% 19.21% 13.98%
Avg Days To Max Increase   15 12 15 16 18 16 15 17 12 10 9
Avg Max Decline   -2.46% -0.95% -0.96% -2.20% -2.44% -1.42% -1.35% -4.22% -2.16% -5.31% -0.97%
Max Decline   -9.91% -5.49% -4.62% -7.37% -10.26% -7.07% -6.68% -12.38% -10.46% -11.39% -2.96%
Avg Days to Max Decline   8 8 4 11 8 9 7 6 5 6 2
2010 Contract Condition   Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 30 32 35 35 35 35 35 35 35 35
Closed Lower   12 15 17 22 19 21 13 19 22 22 20
Penetrated Low   10 12 12 17 13 13 11 18 17 14 2
Scenario Percentage   83% 80% 71% 77% 68% 62% 85% 95% 77% 64% 10%
Avg Max Decline   5.87% 7.03% 7.76% 8.24% 9.18% 9.48% 10.11% 12.80% 14.46% 9.98% 5.57%
Max Decline   19.89% 12.68% 17.52% 16.55% 15.31% 18.40% 19.38% 28.78% 30.34% 22.01% 8.18%
Avg Days To Max Decline   12 19 20 17 20 17 20 20 20 16 9
Avg Max Increase   -3.16% -1.40% -2.65% -1.79% -1.48% -2.58% -4.85% -4.60% -3.26% -3.43% 0.09%
Max Increase   -12.59% -4.82% -8.50% -8.70% -6.27% -7.55% -11.79% -20.37% -11.37% -13.13% 0.00%
Avg Days to Max Increase   10 7 9 5 12 11 11 11 6 8 1
2010 Contract Condition     Yes   Yes Yes Yes Yes Yes      
Action     Yes   Yes Yes Yes Yes Not Yet      
High 276.00 299.00 300.50 301.00 303.00 263.50 247.50 233.75 225.00 204.00    
Low 245.00 262.00 285.50 276.00 242.50 243.25 223.50 210.00 195.75 199.25    
Close/Last 275.00 291.00 285.50 301.00 252.75 246.50 224.50 222.00 199.25 202.50    

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