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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Oats(CBOT) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 34 34 35 35 36 36 36 36 36 36
Closed Higher   15 11 12 15 16 19 19 16 17 13 12
Exceeded High   10 9 9 11 11 17 12 10 9 8 7
Scenario Percentage   67% 82% 75% 73% 69% 89% 63% 63% 53% 62% 58%
Avg Max Increase   19.41% 21.00% 12.74% 10.40% 11.63% 12.49% 12.42% 6.54% 13.12% 14.42% 5.24%
Max Increase   106.02% 87.15% 23.03% 22.90% 29.72% 38.56% 22.99% 13.66% 38.14% 33.18% 11.11%
Avg Days To Max Increase   18 17 14 18 16 15 14 7 13 8 6
Avg Max Decline   -1.47% -2.69% -0.04% -4.77% -2.48% -2.81% -1.65% -1.93% -1.37% -1.76% 0.44%
Max Decline   -7.25% -8.45% -3.13% -8.31% -9.36% -8.31% -8.64% -6.60% -4.44% -6.73% -2.20%
Avg Days to Max Decline   11 4 5 7 7 6 9 3 8 4 2
2010 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 34 34 35 35 36 36 36 36 36 36
Closed Lower   13 23 22 20 19 16 17 20 18 22 23
Penetrated Low   12 20 18 13 12 12 11 15 12 17 6
Scenario Percentage   92% 87% 82% 65% 63% 75% 65% 75% 67% 77% 26%
Avg Max Decline   7.89% 11.73% 10.91% 9.71% 9.17% 9.59% 9.76% 9.19% 9.46% 10.11% 6.45%
Max Decline   15.94% 26.25% 24.78% 20.59% 37.94% 37.88% 21.66% 21.81% 22.86% 21.25% 19.23%
Avg Days To Max Decline   18 22 18 22 19 22 14 16 21 16 7
Avg Max Increase   -3.08% -3.51% -2.61% -3.50% -3.71% -5.16% -3.69% -3.45% -4.77% -2.34% -0.86%
Max Increase   -7.84% -15.38% -10.14% -10.30% -9.78% -11.80% -8.44% -8.41% -11.43% -6.30% -2.50%
Avg Days to Max Increase   14 9 6 9 8 13 9 15 13 5 1
2010 Contract Condition   Yes   Yes Yes       Yes   Yes Yes
Action   No   Yes No       Yes   Yes Yes
High 248.50 246.50 289.00 296.25 258.75 250.00 252.00 281.00 286.50 281.00 280.25 238.50
Low 229.00 222.75 237.00 234.00 213.00 218.25 215.50 230.75 262.00 249.75 218.00 216.00
Close/Last 240.50 240.00 284.75 248.50 224.00 237.75 246.50 268.00 267.50 277.00 228.00 221.00

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