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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   30 35 35 37 37 37 37 37 37 37 37
Closed Higher   12 17 15 22 20 17 18 14 13 16 18
Exceeded High   9 13 10 20 13 8 11 12 9 13 12
Scenario Percentage   75% 76% 67% 91% 65% 47% 61% 86% 69% 81% 67%
Avg Max Increase   12.90% 9.35% 10.39% 10.80% 10.15% 7.06% 11.36% 11.73% 11.04% 9.26% 8.54%
Max Increase   24.52% 21.14% 21.88% 36.29% 20.50% 14.90% 39.34% 33.21% 27.04% 23.85% 17.78%
Avg Days To Max Increase   12 17 19 15 17 10 11 15 15 12 6
Avg Max Decline   0.05% -4.29% -4.01% -2.27% -0.61% -2.05% -1.52% -2.42% -3.41% -2.65% -1.09%
Max Decline   -2.19% -7.41% -13.02% -10.00% -3.61% -6.85% -5.90% -8.72% -8.58% -8.53% -6.88%
Avg Days to Max Decline   5 10 11 6 6 4 6 6 19 6 1
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   30 35 35 37 37 37 37 37 37 37 37
Closed Lower   18 18 20 15 16 19 19 22 24 20 19
Penetrated Low   16 12 10 12 13 14 12 20 18 12 7
Scenario Percentage   89% 67% 50% 80% 81% 74% 63% 91% 75% 60% 37%
Avg Max Decline   9.04% 8.53% 9.59% 9.65% 8.58% 8.88% 9.57% 10.04% 10.73% 11.43% 5.26%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 8.47%
Avg Days To Max Decline   15 18 20 24 16 18 22 18 19 18 6
Avg Max Increase   -1.69% -2.71% -3.79% -3.91% -3.37% -2.60% -4.13% -2.40% -2.87% -3.54% -0.74%
Max Increase   -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -2.20%
Avg Days to Max Increase   4 9 7 13 10 15 13 7 7 8 2
2011 Contract Condition       Yes     Yes     Yes Yes Yes
Action       No     No     Yes Not Yet Yes
High 254.50 291.00 298.00 309.50 361.00 396.00 402.25 400.50 412.25 432.00 396.75 405.00
Low 228.50 224.25 263.00 285.75 293.75 343.75 349.50 350.50 375.00 365.25 313.50 330.75
Close/Last 228.50 265.00 298.00 293.75 353.25 385.25 355.75 398.50 404.25 381.00 367.25 342.50

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