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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Corn(CBOT) as of May 31, 2010
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   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
2010 Contract Condition     Yes   Yes              
Action     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 Dec 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 14
Scenario Percentage   100% 75% 89% 96% 87% 85% 80% 74% 79% 79% 61%
Avg Max Decline   4.93% 4.45% 6.58% 8.29% 9.77% 11.17% 7.44% 7.20% 7.68% 7.64% 4.74%
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   15 16 15 21 23 18 17 15 21 12 9
Avg Max Increase   -1.55% -2.28% -2.92% -3.33% -5.46% -2.58% -2.47% -1.18% -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 6 10 6 11 5 2
2010 Contract Condition   Yes   Yes   Yes Yes          
Action   Yes   Yes   Not Yet            
High 452.00 449.75 414.75 415.50 394.75 399.00 382.25          
Low 415.75 389.50 383.25 375.25 367.25 372.00 374.00          
Close/Last 440.75 390.75 413.00 376.25 392.25 380.00 375.25          

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