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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, 2013
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   26 33 35 38 38 38 38 38 38 38 38
Closed Higher   14 15 17 14 17 15 23 17 15 16 17
Exceeded High   9 11 11 12 12 13 14 12 12 11 8
Scenario Percentage   64% 73% 65% 86% 71% 87% 61% 71% 80% 69% 47%
Avg Max Increase   6.12% 5.35% 12.31% 9.43% 9.87% 9.66% 22.18% 20.60% 13.51% 11.14% 5.46%
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   18 12 15 16 19 15 14 16 11 12 7
Avg Max Decline   -2.68% -0.95% -1.15% -2.02% -4.03% -1.62% -1.42% -4.26% -2.12% -4.77% -0.97%
Max Decline   -9.91% -5.49% -4.62% -7.37% -14.25% -7.07% -6.68% -12.38% -10.46% -8.82% -2.96%
Avg Days to Max Decline   14 8 4 10 9 10 7 6 4 8 2
2012 Contract Condition   Yes   Yes   Yes Yes Yes   Yes Yes Yes
Action   No   No   Yes Yes Yes   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 33 35 38 38 38 38 38 38 38 38
Closed Lower   12 18 17 24 20 23 15 21 23 22 21
Penetrated Low   10 15 12 19 14 14 13 18 18 14 2
Scenario Percentage   83% 83% 71% 79% 70% 61% 87% 86% 78% 64% 10%
Avg Max Decline   5.87% 7.32% 7.76% 8.27% 9.58% 9.72% 10.15% 12.80% 13.95% 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 18 20 17 21 17 20 20 19 16 9
Avg Max Increase   -3.16% -1.71% -2.65% -2.16% -1.40% -2.69% -5.12% -4.60% -3.52% -2.93% 0.09%
Max Increase   -12.59% -6.13% -8.50% -8.70% -6.27% -7.55% -11.88% -20.37% -11.37% -13.13% 0.00%
Avg Days to Max Increase   10 10 9 6 11 10 13 11 6 7 1
2012 Contract Condition     Yes   Yes       Yes      
Action     Yes   Yes       No      
High 400.50 372.50 363.50 330.75 324.25 321.00 341.50 348.00 349.50 346.50 389.50 399.50
Low 358.50 349.50 302.50 308.25 291.00 302.00 285.50 326.50 265.00 280.25 341.00 363.00
Close/Last 358.50 363.50 322.25 324.25 302.00 319.75 340.00 348.00 280.75 338.00 380.25 388.50

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