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