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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 26 26 20 21 19 15 23 15 19 22
Exceeded High   20 20 22 17 16 13 11 15 12 11 8
Scenario Percentage   95% 77% 85% 85% 76% 68% 73% 65% 80% 58% 36%
Avg Max Increase   7.13% 6.48% 8.00% 15.45% 14.68% 12.34% 11.82% 6.11% 12.09% 7.06% 4.82%
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 14 16 18 15 13 15 14 18 14 7
Avg Max Decline   -1.27% -2.30% -1.32% -2.43% -2.80% -1.28% -2.98% -3.05% -3.08% -1.66% -0.38%
Max Decline   -3.29% -9.24% -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 12 7 6 7 13 10 4 1
2008 Contract Condition   Yes Yes Yes Yes   Yes          
Action   Yes Yes Yes Yes   No          
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 19 19 25 24 26 30 22 30 25 23
Penetrated Low   17 14 17 24 21 22 23 16 24 19 14
Scenario Percentage   100% 74% 89% 96% 88% 85% 77% 73% 80% 76% 61%
Avg Max Decline   4.53% 4.49% 6.35% 7.83% 9.46% 10.62% 7.17% 7.12% 7.43% 7.38% 4.15%
Max Decline   17.02% 10.02% 12.32% 18.00% 24.31% 17.55% 20.08% 37.78% 30.97% 27.77% 17.02%
Avg Days To Max Decline   16 17 15 20 23 18 18 15 21 11 8
Avg Max Increase   -1.61% -2.40% -2.76% -2.87% -5.29% -2.47% -2.24% -1.27% -2.32% -2.00% -1.17%
Max Increase   -5.97% -7.38% -7.08% -19.34% -27.57% -17.80% -11.02% -4.37% -5.13% -5.11% -3.20%
Avg Days to Max Increase   10 11 11 11 12 4 10 6 10 5 2
2008 Contract Condition           Yes   Yes Yes Yes Yes Yes
Action           Yes   Yes Yes Yes Yes Yes
High 476.50 540.25 568.00 602.00 641.25 655.50 799.25 783.00 628.75 579.75 500.00 422.00
Low 428.00 473.50 513.00 513.25 573.50 599.75 622.75 562.75 504.50 485.50 364.00 336.50
Close/Last 473.50 515.75 564.75 581.00 628.25 626.50 757.00 607.50 585.00 487.50 401.50 349.50

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