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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Oats(CBOT) as of Dec 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 36 36 37 37 37 37 37 38 38 38
Closed Higher   12 15 18 21 16 13 17 17 22 16 17
Exceeded High   9 11 16 12 13 10 12 11 18 11 8
Scenario Percentage   75% 73% 89% 57% 81% 77% 71% 65% 82% 69% 47%
Avg Max Increase   11.36% 9.36% 10.09% 22.01% 21.13% 14.54% 13.45% 13.14% 15.09% 13.48% 5.45%
Max Increase   32.94% 30.42% 24.73% 124.03% 100.39% 22.60% 29.75% 40.25% 35.52% 27.44% 19.32%
Avg Days To Max Increase   15 17 17 16 16 13 19 18 14 10 8
Avg Max Decline   -1.62% -2.71% -1.57% -1.26% -2.91% -1.97% -5.69% -2.63% -2.99% -2.43% -2.31%
Max Decline   -6.32% -12.05% -7.08% -6.64% -9.23% -5.03% -9.14% -10.22% -7.59% -9.51% -6.62%
Avg Days to Max Decline   8 9 10 9 4 5 9 11 6 11 2
2011 Contract Condition   Yes Yes Yes   Yes   Yes Yes   Yes Yes
Action   Yes Yes Yes   Yes   Yes No   Not Yet 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 36 36 37 37 37 37 37 38 38 38
Closed Lower   20 19 17 16 20 24 20 19 16 21 20
Penetrated Low   16 13 10 14 19 19 15 12 15 13 7
Scenario Percentage   80% 68% 59% 88% 95% 79% 75% 63% 94% 62% 35%
Avg Max Decline   7.83% 8.31% 9.98% 9.06% 12.35% 12.36% 10.21% 10.30% 10.17% 9.97% 3.60%
Max Decline   18.88% 13.76% 16.12% 17.38% 27.19% 27.27% 22.12% 39.54% 39.56% 20.30% 8.44%
Avg Days To Max Decline   13 18 20 19 21 20 21 19 21 14 4
Avg Max Increase   -1.54% -0.84% -3.12% -4.17% -4.28% -2.98% -4.03% -4.07% -5.14% -3.00% -1.36%
Max Increase   -8.55% -2.91% -7.06% -11.41% -19.33% -10.65% -10.28% -9.52% -13.68% -7.99% -8.31%
Avg Days to Max Increase   7 8 17 12 12 4 12 8 11 6 2
2011 Contract Condition         Yes   Yes     Yes    
Action         Yes   No     Yes    
High 349.00 369.25 398.75 400.00 419.00 404.00 410.00 376.50 394.25 379.00 347.00 343.75
Low 338.50 342.50 369.00 343.00 360.00 346.00 333.00 342.25 334.00 321.00 313.00 288.75
Close/Last 347.50 369.00 390.00 392.75 368.00 401.25 347.00 357.50 372.50 328.00 334.50 343.75

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