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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, 2013
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 25 25 21 22 18 17 23 17 21 20
Exceeded High   21 19 21 19 17 13 13 15 14 12 6
Scenario Percentage   95% 76% 84% 90% 77% 72% 76% 65% 82% 57% 30%
Avg Max Increase   7.07% 7.03% 8.80% 14.58% 13.23% 14.11% 13.50% 8.16% 13.38% 7.12% 5.65%
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   21 13 16 17 13 12 17 14 18 12 8
Avg Max Decline   -1.58% -2.97% -1.89% -3.13% -2.72% -0.97% -2.79% -3.05% -3.58% -1.72% -0.30%
Max Decline   -7.86% -10.22% -10.38% -8.15% -6.10% -6.27% -12.19% -11.79% -10.19% -7.38% -1.33%
Avg Days to Max Decline   13 9 14 12 6 6 6 13 9 3 2
2012 Contract Condition         Yes   Yes Yes        
Action         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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 20 20 24 23 27 28 22 28 23 25
Penetrated Low   20 15 18 23 20 22 22 16 21 20 15
Scenario Percentage   100% 75% 90% 96% 87% 81% 79% 73% 75% 87% 60%
Avg Max Decline   5.04% 4.94% 6.41% 8.42% 9.71% 11.06% 7.69% 7.86% 8.22% 7.51% 4.70%
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   17 16 16 21 23 16 16 15 20 12 8
Avg Max Increase   -1.82% -2.31% -3.03% -3.25% -5.27% -2.41% -2.70% -1.32% -2.49% -1.95% -1.14%
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 9 13 6 9 6 10 5 2
2012 Contract Condition   Yes Yes Yes   Yes     Yes Yes Yes Yes
Action   Yes Yes Yes   No     Yes No Yes Not Yet
High 588.75 597.00 582.25 575.00 556.00 549.50 656.75 820.50 849.00 815.00 776.00 763.25
Low 536.00 547.00 549.25 523.00 519.00 499.00 506.00 644.75 781.25 705.00 732.25 710.50
Close/Last 586.25 569.50 568.50 540.25 543.25 522.00 634.75 805.25 799.75 756.25 755.75 748.00

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