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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Corn(CBOT) as of Apr 30, 2011
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   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 25 26 20 22 18 16 23 17 21 21
Exceeded High   20 19 22 18 17 13 12 15 14 12 7
Scenario Percentage   95% 76% 85% 90% 77% 72% 75% 65% 82% 57% 33%
Avg Max Increase   7.13% 6.65% 8.20% 14.69% 14.00% 12.34% 13.34% 8.16% 13.38% 7.35% 5.79%
Max Increase   19.16% 15.57% 37.39% 62.47% 50.71% 37.37% 29.99% 33.86% 44.00% 17.85% 17.37%
Avg Days To Max Increase   20 12 16 18 14 13 16 14 18 13 8
Avg Max Decline   -1.27% -2.47% -1.78% -2.47% -2.66% -1.28% -2.89% -3.05% -3.58% -1.71% -0.31%
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 8 13 11 6 6 7 13 9 4 1
2011 Contract Condition   Yes Yes Yes Yes              
Action   Yes Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 20 19 25 23 27 29 22 28 23 24
Penetrated Low   19 15 17 24 21 22 23 16 22 19 14
Scenario Percentage   100% 75% 89% 96% 91% 81% 79% 73% 79% 83% 58%
Avg Max Decline   4.88% 4.45% 6.34% 8.29% 9.76% 11.17% 7.62% 7.41% 7.92% 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   16 16 16 21 23 18 17 14 20 12 9
Avg Max Increase   -1.80% -2.28% -3.03% -3.33% -5.29% -2.58% -2.60% -1.20% -2.43% -2.00% -1.17%
Max Increase   -6.33% -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   11 11 11 11 13 6 8 6 11 5 2
2011 Contract Condition           Yes            
Action                        
High 562.00 593.00 623.00 625.25 684.00 675.00            
Low 502.25 536.00 566.50 544.75 626.50 658.00            
Close/Last 562.00 591.25 606.75 625.25 669.50 661.25            

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