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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 23 20 15 21 15 22 21 20 22 21
Exceeded High   16 19 15 11 13 13 14 13 16 15 14
Scenario Percentage   89% 83% 75% 73% 62% 87% 64% 62% 80% 68% 67%
Avg Max Increase   14.54% 13.42% 15.45% 11.72% 6.37% 11.69% 8.15% 8.60% 8.47% 6.58% 2.26%
Max Increase   56.84% 45.67% 70.21% 24.76% 12.62% 42.96% 17.55% 29.33% 27.63% 16.19% 5.81%
Avg Days To Max Increase   17 14 13 16 14 17 21 14 17 10 5
Avg Max Decline   -2.27% -2.38% -1.09% -2.93% -3.15% -3.07% -1.37% -2.46% -2.05% -1.99% -1.22%
Max Decline   -5.95% -5.76% -6.16% -11.73% -11.20% -9.57% -3.18% -9.73% -5.89% -8.05% -5.01%
Avg Days to Max Decline   12 7 5 7 14 10 12 7 10 7 2
2010 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 22 25 30 24 30 23 23 25 23 23
Penetrated Low   22 19 22 24 18 24 18 17 18 18 8
Scenario Percentage   96% 86% 88% 80% 75% 80% 78% 74% 72% 78% 35%
Avg Max Decline   7.38% 9.04% 10.16% 6.95% 6.66% 7.47% 8.41% 7.19% 6.22% 5.43% 2.53%
Max Decline   15.47% 22.39% 16.96% 19.56% 37.09% 30.45% 27.13% 21.39% 24.80% 20.24% 4.47%
Avg Days To Max Decline   21 22 17 19 17 22 17 14 16 10 5
Avg Max Increase   -3.07% -4.07% -2.31% -2.26% -1.25% -2.17% -2.05% -1.55% -1.68% -1.34% -1.38%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -3.22% -5.15% -3.94% -3.39%
Avg Days to Max Increase   10 11 6 8 4 10 8 11 9 4 2
2010 Contract Condition   Yes   Yes Yes Yes       Yes Yes  
Action   Yes   Yes Yes Yes       Yes Yes  
High 448.00 449.00 470.00 483.50 386.25 389.00 361.25 424.50 425.00 421.25 426.25 380.00
Low 388.25 402.50 430.50 379.50 328.25 325.50 315.50 341.00 372.50 379.00 355.25 347.50
Close/Last 447.50 434.75 469.25 379.50 362.25 342.50 356.75 379.25 417.50 414.50 356.50 378.00

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