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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 35 35 36 36 37 37 37 37 37 37
Closed Higher   15 11 13 16 16 20 20 16 18 14 12
Exceeded High   10 9 10 12 11 18 13 10 10 9 8
Scenario Percentage   67% 82% 77% 75% 69% 90% 65% 63% 56% 64% 67%
Avg Max Increase   19.41% 21.00% 13.63% 11.84% 11.63% 12.60% 11.91% 6.54% 12.66% 13.95% 5.55%
Max Increase   106.02% 87.15% 23.03% 27.66% 29.72% 38.56% 22.99% 13.66% 38.14% 33.18% 14.74%
Avg Days To Max Increase   18 17 13 19 16 15 14 7 13 8 9
Avg Max Decline   -1.47% -2.69% -0.29% -4.69% -2.48% -2.83% -1.71% -1.93% -1.88% -1.69% -0.05%
Max Decline   -7.25% -8.45% -3.13% -8.31% -9.36% -8.31% -8.64% -6.60% -6.47% -6.73% -3.48%
Avg Days to Max Decline   11 4 5 9 7 6 9 3 8 3 3
2011 Contract Condition       Yes Yes   Yes Yes   Yes Yes  
Action       Yes Yes   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 35 35 36 36 37 37 37 37 37 37
Closed Lower   14 24 22 20 20 16 17 21 18 22 24
Penetrated Low   13 21 18 13 12 12 11 15 12 17 8
Scenario Percentage   93% 88% 82% 65% 60% 75% 65% 71% 67% 77% 33%
Avg Max Decline   8.22% 11.26% 10.91% 9.71% 9.17% 9.59% 9.76% 9.19% 9.46% 10.24% 6.23%
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 21 18 22 19 22 14 16 21 15 8
Avg Max Increase   -2.84% -3.43% -2.61% -3.50% -3.71% -5.16% -3.69% -3.45% -4.77% -2.34% -1.46%
Max Increase   -7.84% -15.38% -10.14% -10.30% -9.78% -11.80% -8.44% -8.41% -11.43% -6.30% -3.57%
Avg Days to Max Increase   13 9 6 9 8 13 9 15 13 5 1
2011 Contract Condition   Yes Yes     Yes     Yes     Yes
Action   Yes Yes     No     No     Yes
High 270.25 257.50 246.50 288.25 291.00 315.00 371.50 396.50 402.50 397.00 404.00 427.50
Low 246.00 234.75 219.00 216.25 252.25 280.00 287.75 340.00 342.75 344.50 368.50 355.25
Close/Last 248.50 246.50 220.50 259.00 291.00 287.75 351.25 380.25 350.00 394.00 396.00 371.25

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