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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   15 15 21 16 22 19 22 21 22 23 18
Exceeded High   12 11 13 13 15 13 18 16 16 22 15
Scenario Percentage   80% 73% 62% 81% 68% 68% 82% 76% 73% 96% 83%
Avg Max Increase   12.94% 11.30% 6.21% 11.17% 7.82% 9.22% 8.29% 8.39% 7.21% 6.26% 5.77%
Max Increase   64.95% 23.43% 11.88% 41.11% 17.13% 28.57% 28.07% 16.47% 30.76% 24.82% 19.70%
Avg Days To Max Increase   10 17 14 16 20 14 18 23 11 7 8
Avg Max Decline   -0.61% -2.74% -2.81% -3.01% -1.21% -2.42% -2.34% -2.10% -2.65% -1.53% -1.10%
Max Decline   -4.17% -10.75% -10.29% -9.93% -2.88% -8.72% -9.03% -5.24% -9.53% -10.93% -5.25%
Avg Days to Max Decline   4 7 14 11 12 7 11 16 8 7 3
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 30 24 29 22 25 22 24 23 22 27
Penetrated Low   21 24 17 23 16 18 16 23 15 16 16
Scenario Percentage   91% 80% 71% 79% 73% 72% 73% 96% 65% 73% 59%
Avg Max Decline   9.97% 6.55% 6.73% 6.81% 7.85% 6.65% 5.90% 5.79% 5.23% 6.37% 3.85%
Max Decline   18.43% 19.10% 36.47% 29.80% 26.70% 22.00% 24.08% 19.54% 13.19% 11.33% 10.93%
Avg Days To Max Decline   19 20 15 23 16 14 16 18 16 10 8
Avg Max Increase   -2.23% -2.08% -1.10% -2.13% -1.84% -1.53% -1.82% -1.90% -1.86% -1.34% -1.10%
Max Increase   -13.32% -9.45% -3.88% -4.86% -5.93% -3.33% -4.64% -6.59% -4.53% -5.66% -4.31%
Avg Days to Max Increase   6 9 3 11 9 8 10 8 5 8 2
2010 Contract Condition   Yes Yes Yes       Yes Yes   Yes  
Action   Yes Yes Yes       Yes Yes   Yes  
High 477.00 490.25 393.50 398.25 370.50 432.75 434.50 431.00 436.00 391.00 392.00 370.00
Low 439.00 388.00 338.50 335.00 325.00 350.00 382.00 390.00 366.25 359.00 344.00 343.50
Close/Last 476.50 388.25 371.75 351.25 365.75 388.25 427.25 424.25 367.75 389.00 345.00 366.25

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