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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, 2010
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 39 45 45 45 45 45 45 45 45 45 45
Closed Higher 20 16 21 22 24 21 23 24 16 23 17
Exceeded High 13 14 13 13 18 17 17 22 13 16 11
Scenario Percentage 65% 88% 62% 59% 75% 81% 74% 92% 81% 70% 65%
Avg Max Increase 6.06% 8.90% 7.56% 9.41% 7.87% 8.32% 7.02% 6.88% 13.42% 11.91% 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 17 22 13 14 20 11 8
Avg Max Decline -2.57% -2.32% -1.38% -1.97% -1.96% -1.79% -2.66% -2.11% -2.41% -3.02% -0.08%
Max Decline -9.08% -8.83% -3.62% -7.16% -8.20% -4.31% -9.29% -10.79% -6.45% -10.06% -1.31%
Avg Days to Max Decline 14 9 12 12 9 11 9 9 11 5 2
2009 Contract Condition         Yes     Yes   Yes  
Action         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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 39 45 45 45 45 45 45 45 45 45 45
Closed Lower 19 29 24 23 21 23 21 21 29 22 27
Penetrated Low 12 23 17 16 15 22 15 16 26 17 18
Scenario Percentage 63% 79% 71% 70% 71% 96% 71% 76% 90% 77% 67%
Avg Max Decline 7.01% 6.78% 7.15% 7.03% 4.73% 5.52% 4.64% 7.21% 8.69% 7.94% 8.89%
Max Decline 35.76% 29.27% 26.37% 22.48% 22.89% 18.80% 9.21% 11.48% 20.53% 22.44% 35.74%
Avg Days To Max Decline 16 21 14 13 17 16 15 15 22 12 11
Avg Max Increase -1.77% -1.87% -1.43% -1.25% -1.58% -1.62% -1.88% -2.19% -3.67% -2.05% -2.09%
Max Increase -4.02% -4.53% -6.15% -2.76% -4.29% -3.97% -4.43% -5.07% -16.67% -9.22% -12.69%
Avg Days to Max Increase 6 10 7 7 10 8 7 13 13 5 5
2009 Contract Condition Yes Yes Yes Yes   Yes Yes   Yes   Yes
Action Yes Yes Yes Yes   Yes Yes   Yes   Yes
High 664.50 620.00 543.00 462.50 443.50 449.25 403.50 416.00 417.50 437.00 450.00
Low 547.00 521.00 402.00 374.50 325.25 380.00 360.00 354.00 370.00 396.50 337.75
Close/Last 625.75 529.50 441.75 388.50 428.00 401.25 368.50 414.75 403.50 436.25 347.75

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