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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 16 22 22 24 20 23 23 16 23 17
Exceeded High   13 14 14 13 18 16 17 21 14 16 11
Scenario Percentage   65% 88% 64% 59% 75% 80% 74% 91% 88% 70% 65%
Avg Max Increase   6.06% 10.01% 7.84% 9.50% 7.87% 8.69% 6.89% 7.14% 12.65% 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 15 21 14 17 22 11 13 19 11 8
Avg Max Decline   -2.57% -2.58% -1.39% -2.46% -1.96% -1.89% -2.79% -2.18% -2.48% -3.02% -0.08%
Max Decline   -9.08% -8.83% -3.62% -8.20% -8.20% -4.31% -9.29% -10.79% -6.45% -10.06% -1.31%
Avg Days to Max Decline   14 8 11 10 9 12 9 9 10 5 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 29 23 23 21 24 21 22 29 22 28
Penetrated Low   13 23 17 16 15 23 15 17 26 17 17
Scenario Percentage   65% 79% 74% 70% 71% 96% 71% 77% 90% 77% 61%
Avg Max Decline   7.01% 6.78% 7.15% 7.03% 5.68% 5.54% 4.64% 6.87% 8.69% 8.26% 5.63%
Max Decline   35.76% 29.27% 26.37% 22.48% 22.89% 18.80% 9.21% 11.48% 20.53% 22.44% 16.21%
Avg Days To Max Decline   16 21 14 13 17 17 15 16 22 13 9
Avg Max Increase   -1.62% -1.87% -1.43% -1.25% -1.75% -1.84% -1.88% -2.37% -3.67% -2.15% -1.26%
Max Increase   -4.02% -4.53% -6.15% -2.76% -4.29% -6.56% -4.43% -5.12% -16.67% -9.22% -8.50%
Avg Days to Max Increase   5 10 7 7 10 9 7 14 13 5 3
2010 Contract Condition   Yes       Yes Yes   Yes   Yes Yes
Action   Yes       Yes Yes   Yes   Yes Not Yet
High 403.25 406.00 379.00 439.25 441.75 439.25 444.25 401.75 402.25 377.75 385.00 367.25
Low 347.00 343.75 333.75 358.00 390.50 400.00 375.75 368.75 355.00 351.50 353.50 324.50
Close/Last 380.75 359.25 373.75 396.50 435.75 433.00 377.50 399.75 356.50 375.25 359.00 354.25

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