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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 21 24 22 24 27 17 23 16 16 23
Exceeded High   13 13 18 19 19 25 15 17 11 10 11
Scenario Percentage   62% 62% 75% 86% 79% 93% 88% 74% 69% 63% 48%
Avg Max Increase   7.25% 8.59% 8.51% 7.34% 5.92% 7.94% 12.70% 13.52% 14.91% 12.00% 4.70%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 32.50% 20.75% 11.13%
Avg Days To Max Increase   20 15 19 22 14 14 16 15 16 10 7
Avg Max Decline   -0.95% -2.10% -1.35% -1.38% -2.47% -2.04% -2.04% -2.40% -1.08% -1.38% -0.78%
Max Decline   -2.62% -7.80% -6.73% -3.26% -8.22% -10.55% -6.25% -5.50% -5.72% -6.60% -2.19%
Avg Days to Max Decline   7 8 6 11 10 10 11 7 6 3 2
2011 Contract Condition   Yes   Yes Yes Yes Yes Yes        
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 24 20 23 21 17 28 22 29 29 22
Penetrated Low   14 16 15 23 16 16 25 20 23 22 13
Scenario Percentage   74% 67% 75% 100% 76% 94% 89% 91% 79% 76% 59%
Avg Max Decline   5.71% 6.63% 5.17% 4.90% 4.01% 6.55% 8.79% 10.60% 12.51% 7.37% 4.55%
Max Decline   25.43% 22.45% 20.47% 17.92% 9.56% 12.01% 18.83% 27.77% 19.93% 17.40% 10.31%
Avg Days To Max Decline   15 13 17 16 12 16 22 22 15 10 8
Avg Max Increase   -1.63% -1.21% -1.47% -1.63% -2.31% -2.58% -3.51% -4.89% -2.90% -1.81% -1.04%
Max Increase   -6.50% -4.22% -3.85% -6.44% -9.03% -5.91% -19.29% -27.18% -18.45% -8.17% -3.60%
Avg Days to Max Increase   8 6 7 10 7 9 13 11 5 4 3
2011 Contract Condition     Yes           Yes      
Action     No                  
High 515.00 568.50 585.75 595.50 627.25 671.00 665.75 728.75 723.00      
Low 453.75 461.75 500.50 522.50 568.00 609.25 581.25 665.00 700.50      
Close/Last 495.25 562.00 524.00 595.50 626.25 650.25 655.25 716.00 703.50      

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