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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   24 33 35 35 36 36 36 36 36 36 36
Closed Higher   8 19 19 16 18 12 13 14 20 17 16
Exceeded High   6 16 13 12 10 10 9 12 13 13 8
Scenario Percentage   75% 84% 68% 75% 56% 83% 69% 86% 65% 76% 50%
Avg Max Increase   9.14% 8.59% 7.91% 5.70% 11.29% 10.90% 10.63% 10.25% 24.53% 20.19% 9.19%
Max Increase   14.97% 33.88% 20.81% 16.97% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 17.02%
Avg Days To Max Increase   16 13 14 12 13 11 12 14 14 11 9
Avg Max Decline   -3.31% -1.67% -1.62% -1.75% -0.36% -1.73% -0.95% -2.44% -2.19% -2.58% -1.01%
Max Decline   -8.81% -5.37% -11.62% -6.45% -2.76% -3.46% -4.33% -7.63% -7.48% -7.86% -7.66%
Avg Days to Max Decline   8 6 9 7 5 8 8 7 7 3 2
2010 Contract Condition   Yes Yes Yes   Yes           Yes
Action   Yes Yes Yes   Yes           Not Yet
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   24 33 35 35 36 36 36 36 36 36 36
Closed Lower   15 14 16 19 18 23 23 22 16 19 20
Penetrated Low   8 10 10 15 12 20 17 12 14 14 10
Scenario Percentage   53% 71% 63% 79% 67% 87% 74% 55% 88% 74% 50%
Avg Max Decline   10.30% 10.02% 8.58% 7.80% 9.19% 9.01% 9.11% 13.32% 10.64% 10.32% 6.16%
Max Decline   35.68% 34.36% 20.04% 16.86% 22.08% 20.60% 17.14% 24.67% 21.82% 29.28% 13.84%
Avg Days To Max Decline   25 20 14 19 19 16 19 21 19 8 7
Avg Max Increase   -2.69% -4.08% -2.35% -2.41% -2.71% -1.87% -1.95% -3.66% -4.88% -3.92% -2.11%
Max Increase   -7.04% -9.40% -6.10% -7.40% -9.29% -8.43% -6.95% -9.12% -12.22% -11.57% -13.04%
Avg Days to Max Increase   14 17 10 16 8 4 8 13 14 6 2
2010 Contract Condition         Yes   Yes Yes Yes Yes Yes  
Action         Yes   Yes Yes Yes Yes Not Yet  
High 274.75 260.50 266.00 293.75 298.25 293.50 295.75 255.50 244.00 226.25 219.00 281.50
Low 232.00 236.50 233.00 252.00 283.25 268.00 235.50 233.50 214.50 201.25 188.25 190.50
Close/Last 240.00 255.50 265.00 284.00 283.25 293.50 244.75 238.50 217.00 213.75 191.00 255.00

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