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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, 2013
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   26 35 37 37 38 38 38 38 38 38 38
Closed Higher   9 20 21 16 19 13 14 15 21 18 17
Exceeded High   6 17 14 12 11 11 10 13 14 14 9
Scenario Percentage   67% 85% 67% 75% 58% 85% 71% 87% 67% 78% 53%
Avg Max Increase   9.14% 8.86% 7.58% 5.70% 11.06% 10.60% 10.58% 9.64% 23.46% 17.60% 9.44%
Max Increase   14.97% 33.88% 20.81% 16.97% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 16.07%
Avg Days To Max Increase   16 13 15 12 13 11 14 13 15 11 8
Avg Max Decline   -3.31% -1.75% -2.13% -1.75% -0.91% -1.61% -2.00% -2.70% -3.75% -2.68% -0.90%
Max Decline   -8.81% -5.37% -11.62% -6.45% -6.35% -3.46% -11.43% -7.63% -24.10% -7.86% -7.66%
Avg Days to Max Decline   8 6 11 7 6 8 8 8 8 4 2
2012 Contract Condition   Yes   Yes       Yes Yes Yes   Yes
Action   No   No       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   26 35 37 37 38 38 38 38 38 38 38
Closed Lower   16 15 16 21 19 24 24 23 17 20 21
Penetrated Low   8 11 10 16 13 21 18 12 15 14 10
Scenario Percentage   50% 73% 63% 76% 68% 88% 75% 52% 88% 70% 48%
Avg Max Decline   10.30% 10.56% 8.58% 8.01% 9.31% 8.87% 9.54% 13.32% 10.45% 10.16% 5.89%
Max Decline   35.68% 34.36% 20.04% 16.86% 22.08% 20.60% 17.14% 24.67% 21.82% 27.68% 11.89%
Avg Days To Max Decline   25 20 14 19 19 16 19 21 20 8 7
Avg Max Increase   -2.69% -4.05% -2.35% -2.40% -2.54% -2.19% -2.05% -3.66% -5.50% -3.92% -2.11%
Max Increase   -7.04% -9.40% -6.10% -7.40% -9.29% -8.50% -6.95% -9.12% -14.18% -11.57% -13.04%
Avg Days to Max Increase   14 16 10 16 8 5 8 13 16 6 2
2012 Contract Condition     Yes   Yes Yes Yes       Yes  
Action     Yes   Yes Yes Yes       Not Yet  
High 395.00 411.00 394.50 365.50 357.50 327.00 320.00 322.25 345.00 347.00 350.00 378.75
Low 371.00 368.50 352.50 338.00 296.25 302.50 284.25 297.00 279.00 322.00 262.25 276.50
Close/Last 381.50 394.50 352.50 357.50 320.00 318.50 297.00 315.00 342.00 345.50 280.75 336.00

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