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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Corn(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Higher 20 16 20 22 23 21 23 22 17 23 18
Exceeded High 13 13 12 13 17 17 17 20 14 16 11
Scenario Percentage 65% 81% 60% 59% 74% 81% 74% 91% 82% 70% 61%
Avg Max Increase 6.06% 9.19% 6.84% 7.46% 7.14% 7.60% 6.42% 6.81% 11.33% 11.88% 5.76%
Max Increase 10.89% 38.35% 15.99% 15.01% 28.71% 16.78% 26.54% 30.33% 51.63% 60.09% 9.79%
Avg Days To Max Increase 14 15 21 16 18 20 12 13 19 13 7
Avg Max Decline -2.57% -1.82% -1.32% -2.01% -2.00% -1.75% -2.12% -1.71% -1.80% -2.90% -0.06%
Max Decline -9.08% -8.55% -3.62% -7.16% -8.20% -4.31% -8.26% -6.61% -5.42% -10.06% -1.31%
Avg Days to Max Decline 14 9 13 12 9 11 8 9 8 4 2
2007 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes  
Action   Yes Yes Yes Yes Yes No     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Lower 17 29 24 23 22 23 21 23 28 22 26
Penetrated Low 11 23 16 16 16 22 14 17 25 18 17
Scenario Percentage 65% 79% 67% 70% 73% 96% 67% 74% 89% 82% 65%
Avg Max Decline 4.39% 5.64% 5.95% 6.12% 4.58% 5.08% 4.69% 6.86% 8.39% 7.33% 8.44%
Max Decline 7.18% 13.65% 17.28% 22.48% 22.89% 18.80% 9.21% 11.48% 20.53% 21.00% 35.74%
Avg Days To Max Decline 15 21 15 13 17 16 16 14 22 11 9
Avg Max Increase -2.01% -1.77% -1.23% -1.29% -1.56% -1.63% -1.95% -2.05% -3.35% -2.00% -1.57%
Max Increase -4.02% -4.53% -6.15% -2.76% -4.29% -3.97% -4.43% -5.07% -16.67% -9.22% -8.50%
Avg Days to Max Increase 6 10 8 8 10 8 7 13 12 5 3
2007 Contract Condition Yes             Yes Yes   Yes
Action No             Yes Yes   Yes
High 297.50 295.00 359.00 402.25 404.50 437.75 459.75 448.50 397.00 401.00 428.75
Low 265.75 265.75 290.75 347.50 372.00 369.50 410.50 385.50 355.00 352.00 323.00
Close/Last 281.50 290.75 348.75 398.00 402.50 422.50 444.25 385.50 367.50 390.25 329.50

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