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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Oats(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   29 33 33 34 34 34 34 34 35 35 35
Closed Higher   11 14 16 21 14 12 15 15 20 13 16
Exceeded High   8 10 14 12 11 9 10 10 16 9 7
Scenario Percentage   73% 71% 88% 57% 79% 75% 67% 67% 80% 69% 44%
Avg Max Increase   11.73% 9.55% 9.40% 22.01% 24.29% 13.67% 12.13% 12.55% 15.06% 13.82% 4.79%
Max Increase   32.94% 30.42% 24.73% 124.03% 100.39% 22.60% 25.92% 40.25% 35.52% 26.13% 15.95%
Avg Days To Max Increase   17 17 16 16 17 14 17 18 14 9 6
Avg Max Decline   -1.82% -1.78% -1.28% -1.26% -2.98% -1.77% -5.68% -1.87% -2.70% -1.78% -1.69%
Max Decline   -6.32% -5.00% -7.08% -6.64% -9.23% -5.03% -9.14% -4.44% -7.59% -8.02% -5.49%
Avg Days to Max Decline   9 9 10 9 4 5 7 11 7 10 2
2008 Contract Condition   Yes Yes   Yes   Yes          
Action   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   29 33 33 34 34 34 34 34 35 35 35
Closed Lower   18 17 16 13 19 22 19 18 15 21 19
Penetrated Low   14 12 9 12 19 18 15 12 14 13 7
Scenario Percentage   78% 71% 56% 92% 100% 82% 79% 67% 93% 62% 37%
Avg Max Decline   6.80% 7.86% 9.69% 8.79% 12.35% 12.21% 10.21% 10.30% 10.04% 9.97% 3.60%
Max Decline   16.23% 13.00% 16.12% 17.38% 27.19% 27.27% 22.12% 39.54% 39.56% 20.30% 8.44%
Avg Days To Max Decline   11 18 20 18 21 19 21 19 21 14 4
Avg Max Increase   -1.47% -0.80% -2.74% -3.74% -4.28% -2.90% -4.03% -4.07% -5.09% -3.00% -1.36%
Max Increase   -8.55% -2.91% -7.06% -9.00% -19.33% -10.65% -10.28% -9.52% -13.68% -7.99% -8.31%
Avg Days to Max Increase   7 8 17 10 12 5 12 8 11 6 2
2008 Contract Condition       Yes   Yes   Yes Yes Yes Yes Yes
Action       No   Yes   Yes Yes Yes Yes Yes
High 315.75 362.75 459.25 477.25 435.00 451.00 475.00 489.25 409.00 374.00 324.75 250.00
Low 294.00 317.00 359.00 366.00 385.50 403.25 404.00 395.00 351.50 313.50 219.00 191.00
Close/Last 315.00 359.00 457.00 402.50 413.00 410.00 473.00 397.00 362.25 316.00 231.50 201.50

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