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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, 2013
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 19 25 22 25 26 17 22 16 17 23
Exceeded High   15 11 19 20 20 24 15 16 11 11 11
Scenario Percentage   65% 58% 76% 91% 80% 92% 88% 73% 69% 65% 48%
Avg Max Increase   6.83% 9.33% 8.60% 7.33% 6.19% 8.63% 12.40% 13.44% 16.98% 11.83% 4.57%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 34.25% 20.75% 10.02%
Avg Days To Max Increase   20 15 17 22 14 14 15 15 16 11 7
Avg Max Decline   -1.68% -2.48% -1.53% -1.34% -2.83% -2.20% -2.66% -2.55% -0.73% -1.55% -0.78%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.72% -6.60% -2.19%
Avg Days to Max Decline   8 9 6 11 9 12 12 8 5 3 2
2012 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 26 19 23 20 18 28 23 29 28 22
Penetrated Low   14 16 14 23 15 17 25 20 23 21 13
Scenario Percentage   74% 62% 74% 100% 75% 94% 89% 87% 79% 75% 59%
Avg Max Decline   5.71% 6.63% 5.33% 5.19% 4.25% 6.78% 9.03% 10.60% 12.40% 7.37% 4.68%
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 13 16 22 22 15 10 7
Avg Max Increase   -1.63% -1.21% -1.49% -1.68% -2.31% -2.55% -3.26% -4.89% -2.68% -1.89% -0.98%
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 11 8 9 12 11 5 4 3
2012 Contract Condition     Yes   Yes   Yes Yes Yes     Yes
Action     No   Yes   Yes Yes No     Yes
High 716.75 638.00 639.75 613.25 624.25 605.25 609.25 575.75 558.50 649.25 828.75 843.75
Low 580.00 572.00 557.50 558.75 568.75 579.75 543.50 535.00 504.25 509.50 640.75 776.75
Close/Last 586.50 626.00 574.75 613.25 593.50 600.75 563.25 560.75 525.50 628.50 806.50 802.75

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