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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, 2013
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   33 37 37 38 38 38 38 38 39 39 39
Closed Higher   12 16 19 22 16 14 18 18 22 17 17
Exceeded High   9 12 17 13 13 11 13 12 18 11 8
Scenario Percentage   75% 75% 89% 59% 81% 79% 72% 67% 82% 65% 47%
Avg Max Increase   11.36% 9.28% 9.70% 20.40% 21.13% 14.75% 13.04% 12.39% 15.09% 13.03% 4.78%
Max Increase   32.94% 30.42% 24.73% 124.03% 100.39% 22.60% 29.75% 40.25% 35.52% 27.44% 17.84%
Avg Days To Max Increase   15 18 16 15 16 15 17 17 14 10 6
Avg Max Decline   -1.62% -3.30% -1.66% -1.43% -2.91% -1.79% -5.67% -2.69% -2.99% -2.43% -2.31%
Max Decline   -6.32% -12.05% -7.08% -6.64% -9.23% -5.03% -9.14% -10.22% -7.59% -9.51% -6.62%
Avg Days to Max Decline   8 9 10 9 4 4 8 10 6 11 2
2012 Contract Condition     Yes Yes Yes   Yes Yes Yes   Yes  
Action     Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   33 37 37 38 38 38 38 38 39 39 39
Closed Lower   21 19 17 16 21 24 20 19 17 21 21
Penetrated Low   17 13 10 14 19 19 15 12 16 13 7
Scenario Percentage   81% 68% 59% 88% 90% 79% 75% 63% 94% 62% 33%
Avg Max Decline   7.73% 8.31% 9.98% 9.06% 12.35% 12.36% 10.21% 10.30% 9.88% 9.97% 3.60%
Max Decline   18.88% 13.76% 16.12% 17.38% 27.19% 27.27% 22.12% 39.54% 39.56% 20.30% 8.44%
Avg Days To Max Decline   12 18 20 19 21 20 21 19 22 14 4
Avg Max Increase   -1.77% -0.84% -3.12% -4.17% -4.28% -2.98% -4.03% -4.07% -5.39% -3.00% -1.36%
Max Increase   -8.55% -2.91% -7.06% -11.41% -19.33% -10.65% -10.28% -9.52% -13.68% -7.99% -8.31%
Avg Days to Max Increase   9 8 17 12 12 4 12 8 12 6 2
2012 Contract Condition   Yes       Yes       Yes   Yes
Action   Yes       No       Yes   Not Yet
High 331.75 324.00 329.50 346.00 352.00 356.00 351.00 392.25 402.00 414.00 404.50 391.75
Low 315.00 296.25 310.00 293.00 333.00 269.00 270.50 344.00 362.00 361.50 358.00 350.00
Close/Last 324.00 312.25 327.00 344.00 352.00 281.00 344.00 382.75 397.50 370.50 389.00 360.75

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