MRCI's ScenarioSM Study

ScenarioSM Study for July Oats(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	21	30	32	32	33	33	33	33	33	33	33
Closed Higher	7	17	18	16	16	11	12	14	18	16	14
Exceeded High	5	14	12	12	8	9	8	12	11	12	7
Scenario Percentage	71%	82%	67%	75%	50%	82%	67%	86%	61%	75%	50%
Avg Max Increase	7.97%	8.50%	8.16%	5.70%	9.10%	8.39%	11.31%	10.25%	24.92%	19.74%	9.40%
Max Increase	13.29%	33.88%	20.81%	16.97%	35.34%	18.94%	27.06%	22.68%	137.82%	115.34%	15.34%
Avg Days To Max Increase	16	14	15	12	13	12	13	14	14	12	8
Avg Max Decline	-2.21%	-1.31%	-1.75%	-1.75%	-0.53%	-1.84%	-1.02%	-2.44%	-2.04%	-2.60%	-0.06%
Max Decline	-3.91%	-5.37%	-11.62%	-6.45%	-2.76%	-3.46%	-4.33%	-7.63%	-7.48%	-7.86%	-1.04%
Avg Days to Max Decline	9	6	10	7	3	9	8	7	5	4	2
2007 Contract Condition		Yes	Yes	Yes	Yes			Yes		Yes
Action		Yes	Yes	No	No			No		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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	21	30	32	32	33	33	33	33	33	33	33
Closed Lower	13	13	14	16	17	21	21	19	15	17	19
Penetrated Low	7	9	9	12	11	18	16	10	13	14	11
Scenario Percentage	54%	69%	64%	75%	65%	86%	76%	53%	87%	82%	58%
Avg Max Decline	6.67%	7.31%	7.30%	7.42%	8.01%	8.18%	8.70%	13.59%	10.54%	10.16%	6.60%
Max Decline	12.61%	12.73%	12.98%	12.85%	19.38%	17.80%	17.14%	24.67%	21.82%	27.68%	13.73%
Avg Days To Max Decline	25	20	15	20	19	16	19	22	19	8	9
Avg Max Increase	-3.08%	-4.36%	-2.07%	-2.23%	-2.12%	-1.83%	-1.92%	-3.46%	-5.06%	-3.92%	-2.74%
Max Increase	-7.04%	-9.40%	-6.10%	-5.87%	-5.03%	-8.43%	-6.95%	-9.12%	-12.22%	-11.57%	-13.04%
Avg Days to Max Increase	16	18	10	14	8	4	9	15	15	6	2
2007 Contract Condition	Yes					Yes	Yes		Yes		Yes
Action	No					Yes	Yes		Yes		Yes
High	211.00	214.00	252.00	286.50	286.00	286.00	275.00	299.75	291.00	286.75	300.00
Low	197.50	203.00	215.00	247.50	266.00	260.00	253.25	247.00	256.00	248.25	255.00
Close/Last	203.00	214.00	247.00	274.00	281.00	273.75	264.00	281.75	267.00	281.00	278.50