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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 39 45 45 45 45 45 45 45 45 45 45
Closed Higher 20 21 24 23 24 28 17 23 17 15 22
Exceeded High 12 12 18 20 19 26 14 17 11 9 10
Scenario Percentage 60% 57% 75% 87% 79% 93% 82% 74% 65% 60% 45%
Avg Max Increase 6.97% 9.22% 8.51% 7.06% 5.97% 7.70% 13.47% 13.52% 14.91% 11.10% 4.06%
Max Increase 14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 32.50% 20.75% 10.02%
Avg Days To Max Increase 20 16 19 22 15 15 17 15 16 10 6
Avg Max Decline -0.95% -1.62% -1.35% -1.32% -2.40% -1.97% -1.95% -2.40% -1.08% -1.31% -0.80%
Max Decline -2.62% -5.93% -6.73% -3.26% -8.22% -10.55% -6.25% -5.50% -5.72% -6.60% -2.19%
Avg Days to Max Decline 8 8 6 11 10 10 12 7 6 3 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 39 45 45 45 45 45 45 45 45 45 45
Closed Lower 19 24 20 22 21 16 28 22 28 30 23
Penetrated Low 14 16 15 22 16 15 25 20 23 23 15
Scenario Percentage 74% 67% 75% 100% 76% 94% 89% 91% 82% 77% 65%
Avg Max Decline 5.71% 6.63% 4.27% 4.90% 4.01% 6.86% 8.79% 10.20% 12.51% 7.22% 15.34%
Max Decline 25.43% 22.45% 20.47% 17.92% 9.56% 12.01% 18.83% 27.77% 19.93% 17.40% 57.91%
Avg Days To Max Decline 15 13 17 15 12 15 22 21 15 10 13
Avg Max Increase -1.63% -1.21% -1.32% -1.41% -2.31% -2.41% -3.51% -4.94% -2.90% -1.71% -1.57%
Max Increase -6.50% -4.22% -3.85% -4.19% -9.03% -5.91% -19.29% -27.18% -18.45% -8.17% -5.56%
Avg Days to Max Increase 8 6 7 9 7 9 13 10 5 4 4
2009 Contract Condition Yes Yes   Yes Yes   Yes   Yes Yes Yes
Action Yes Yes   Yes Yes   Yes   Yes Yes Yes
High 549.75 470.50 451.50 457.75 413.50 425.00 426.25 446.75 460.00 361.00 365.00
Low 412.00 386.25 335.75 390.75 369.75 363.25 379.25 405.75 354.50 304.00 304.25
Close/Last 450.25 399.25 438.00 411.75 377.75 424.00 412.50 446.25 354.50 339.50 326.25

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