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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, 2010
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 39 45 45 45 45 45 45 45 45 45 45
Closed Higher 21 25 27 20 22 19 15 22 16 20 22
Exceeded High 20 19 23 17 17 13 11 14 13 11 8
Scenario Percentage 95% 76% 85% 85% 77% 68% 73% 64% 81% 55% 36%
Avg Max Increase 7.13% 6.70% 7.90% 15.45% 14.00% 12.34% 11.82% 6.33% 12.72% 7.66% 5.67%
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 14 13 15 14 19 13 8
Avg Max Decline -1.27% -2.41% -1.72% -2.43% -2.66% -1.28% -2.98% -3.24% -3.21% -1.66% -0.26%
Max Decline -3.29% -9.24% -10.38% -6.87% -6.10% -6.27% -12.19% -11.79% -10.19% -7.38% -1.33%
Avg Days to Max Decline 11 9 13 12 6 6 7 14 10 4 1
2009 Contract Condition     Yes   Yes       Yes Yes Yes
Action     Yes   Yes       Yes Not Yet 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 39 45 45 45 45 45 45 45 45 45 45
Closed Lower 18 20 18 25 23 26 30 23 29 24 23
Penetrated Low 18 15 16 24 20 22 24 17 23 19 16
Scenario Percentage 100% 75% 89% 96% 87% 85% 80% 74% 79% 79% 70%
Avg Max Decline 4.93% 4.45% 6.58% 8.29% 9.77% 11.17% 7.44% 7.20% 7.68% 7.64% 12.41%
Max Decline 17.02% 10.02% 12.32% 18.00% 24.31% 17.55% 20.08% 37.78% 30.97% 27.77% 62.48%
Avg Days To Max Decline 15 16 15 21 23 18 17 15 21 12 10
Avg Max Increase -1.55% -2.28% -2.92% -3.33% -5.46% -2.58% -2.47% -1.18% -2.32% -2.00% -1.43%
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 6 10 6 11 5 3
2009 Contract Condition Yes Yes   Yes   Yes Yes Yes      
Action Yes Yes   Yes   Yes Yes Yes      
High 471.75 427.00 436.75 438.00 460.00 473.50 373.75 376.00 347.75 413.50 409.50
Low 404.00 382.00 375.50 390.50 416.75 367.25 314.75 311.50 302.00 327.50 359.25
Close/Last 425.00 391.00 435.75 423.25 459.25 367.25 349.50 329.75 344.00 366.00 402.75

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