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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 17 21 22 23 21 23 23 17 22 18
Exceeded High   13 14 13 13 17 17 17 21 14 15 11
Scenario Percentage   65% 82% 62% 59% 74% 81% 74% 91% 82% 68% 61%
Avg Max Increase   6.06% 8.90% 7.56% 9.41% 8.04% 8.32% 7.02% 6.95% 12.52% 12.49% 6.47%
Max Increase   10.89% 38.35% 16.30% 28.80% 28.71% 16.78% 26.54% 30.33% 51.63% 60.09% 9.79%
Avg Days To Max Increase   14 16 21 16 18 22 13 13 19 12 8
Avg Max Decline   -2.57% -2.32% -1.38% -1.97% -1.98% -1.79% -2.66% -1.69% -2.26% -3.20% -0.08%
Max Decline   -9.08% -8.83% -3.62% -7.16% -8.20% -4.31% -9.29% -6.61% -6.45% -10.06% -1.31%
Avg Days to Max Decline   14 9 12 12 9 11 9 9 10 5 2
2008 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes   Yes
Action     Yes Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 28 23 23 22 23 21 22 28 23 26
Penetrated Low   11 22 16 16 16 22 14 16 25 18 16
Scenario Percentage   61% 79% 70% 70% 73% 96% 67% 73% 89% 78% 62%
Avg Max Decline   4.39% 5.75% 5.95% 6.12% 4.58% 5.08% 4.69% 7.21% 8.39% 7.64% 5.75%
Max Decline   7.18% 13.65% 17.28% 22.48% 22.89% 18.80% 9.21% 11.48% 20.53% 22.44% 16.21%
Avg Days To Max Decline   15 21 15 13 17 16 16 15 22 12 10
Avg Max Increase   -2.01% -1.84% -1.23% -1.29% -1.56% -1.63% -1.95% -2.19% -3.35% -2.00% -1.14%
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 11 8 8 10 8 7 13 12 5 3
2008 Contract Condition   Yes                 Yes  
Action   No                 Not Yet  
High 400.50 402.50 421.50 415.25 429.00 478.00 542.25 571.00 600.75 628.75 639.00 765.00
Low 359.75 360.00 371.25 371.75 402.00 419.00 476.50 513.75 515.00 574.50 572.75 595.75
Close/Last 378.25 375.50 407.75 411.00 421.00 476.50 522.25 568.50 582.00 612.25 599.25 724.75

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