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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Oats(CBOT) as of Apr 30, 2011
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   24 31 33 36 36 36 36 36 36 36 36
Closed Higher   12 15 15 13 15 14 22 16 14 14 15
Exceeded High   8 11 10 11 10 12 13 11 11 10 8
Scenario Percentage   67% 73% 67% 85% 67% 86% 59% 69% 79% 71% 53%
Avg Max Increase   6.40% 5.35% 12.18% 9.58% 10.06% 10.23% 23.85% 22.30% 13.08% 12.27% 7.34%
Max Increase   10.82% 11.80% 37.56% 33.14% 30.95% 24.88% 134.52% 111.54% 22.22% 20.48% 13.98%
Avg Days To Max Increase   17 12 14 16 18 16 15 17 11 11 9
Avg Max Decline   -2.79% -0.95% -0.86% -2.20% -2.44% -1.42% -1.35% -4.22% -2.39% -5.29% -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   12 8 4 11 8 9 7 6 5 8 2
2011 Contract Condition   Yes   Yes Yes Yes            
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 31 33 36 36 36 36 36 36 36 36
Closed Lower   12 16 17 23 20 22 14 20 22 22 21
Penetrated Low   10 13 12 18 14 14 12 18 17 14 2
Scenario Percentage   83% 81% 71% 78% 70% 64% 86% 90% 77% 64% 10%
Avg Max Decline   5.87% 7.65% 7.76% 8.43% 9.58% 9.72% 10.26% 12.80% 14.46% 9.98% 5.57%
Max Decline   19.89% 15.06% 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 18 21 17 20 20 20 16 9
Avg Max Increase   -3.16% -1.77% -2.65% -1.93% -1.40% -2.69% -4.56% -4.60% -3.26% -3.43% 0.09%
Max Increase   -12.59% -6.13% -8.50% -8.70% -6.27% -7.55% -11.79% -20.37% -11.37% -13.13% 0.00%
Avg Days to Max Increase   10 9 9 6 11 10 10 11 6 8 1
2011 Contract Condition     Yes       Yes Yes Yes      
Action     Yes       Not Yet Yes        
High 330.00 344.00 347.00 357.50 376.75 406.00 397.00 416.00 360.00      
Low 307.75 321.00 340.00 338.00 343.25 363.25 331.00 355.50 349.75      
Close/Last 321.00 344.00 340.00 357.50 376.50 386.00 383.25 360.00 350.00      

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