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MRCI's Scenario Study

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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

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