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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Corn(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Higher 20 26 25 19 22 19 15 24 16 19 22
Exceeded High 19 19 21 16 17 14 11 16 12 11 9
Scenario Percentage 95% 73% 84% 84% 77% 74% 73% 67% 75% 58% 41%
Avg Max Increase 6.63% 6.11% 7.78% 14.72% 14.29% 11.93% 11.82% 6.35% 12.09% 7.44% 4.70%
Max Increase 19.16% 15.57% 37.39% 62.47% 50.71% 37.37% 25.90% 13.70% 44.00% 17.85% 17.37%
Avg Days To Max Increase 20 13 16 18 14 12 15 15 18 13 8
Avg Max Decline -1.31% -1.94% -1.32% -2.29% -2.64% -1.15% -2.98% -2.90% -3.08% -1.66% -0.43%
Max Decline -3.29% -5.76% -6.85% -6.87% -6.10% -6.27% -12.19% -11.79% -10.19% -7.38% -1.83%
Avg Days to Max Decline 11 8 13 11 7 6 7 13 10 4 1
2007 Contract Condition Yes Yes     Yes       Yes Yes Yes
Action Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Lower 17 19 20 26 23 26 30 21 29 25 23
Penetrated Low 17 14 18 24 20 22 23 15 23 19 16
Scenario Percentage 100% 74% 90% 92% 87% 85% 77% 71% 79% 76% 70%
Avg Max Decline 4.53% 4.49% 6.06% 7.83% 9.42% 10.62% 6.36% 5.08% 6.41% 6.21% 11.38%
Max Decline 17.02% 10.02% 12.32% 18.00% 24.31% 17.55% 13.47% 11.98% 13.59% 13.22% 62.48%
Avg Days To Max Decline 16 17 15 20 23 18 17 14 21 11 9
Avg Max Increase -1.61% -2.40% -2.62% -2.87% -4.17% -2.47% -2.13% -1.41% -2.31% -1.85% -1.35%
Max Increase -5.97% -7.38% -7.08% -19.34% -18.17% -17.80% -11.02% -4.37% -5.13% -4.64% -3.20%
Avg Days to Max Increase 10 11 11 11 11 4 9 5 11 5 3
2007 Contract Condition     Yes Yes   Yes Yes Yes      
Action     Yes Yes   Yes No No      
High 407.00 429.50 422.75 406.00 401.00 435.00 371.00 372.00 389.50 380.00 394.00
Low 354.50 388.50 383.50 358.00 354.50 343.75 324.50 326.50 335.50 335.00 366.50
Close/Last 394.75 420.00 383.50 364.50 384.75 350.75 342.25 340.00 373.00 375.50 384.50

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