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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Rough Rice(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 12 16 19 20 20 20 20 21 21 21 21
Closed Higher 5 9 9 9 6 10 6 10 7 10 10
Exceeded High 4 7 7 7 5 8 3 9 4 9 8
Scenario Percentage 80% 78% 78% 78% 83% 80% 50% 90% 57% 90% 80%
Avg Max Increase 11.64% 10.71% 6.18% 5.92% 7.26% 17.31% 34.27% 15.79% 10.03% 10.79% 8.08%
Max Increase 21.93% 18.97% 17.68% 11.04% 19.56% 71.94% 87.52% 76.44% 21.38% 28.51% 20.65%
Avg Days To Max Increase 26 16 14 17 10 21 16 9 4 14 14
Avg Max Decline -1.72% 0.32% -1.81% -2.72% -1.53% -3.92% -3.41% -1.22% -1.59% -3.86% -1.31%
Max Decline -4.10% -2.35% -4.80% -6.46% -3.49% -7.47% -5.59% -4.52% -3.92% -9.88% -4.72%
Avg Days to Max Decline 13 10 4 13 8 14 10 7 4 8 3
2007 Contract Condition   Yes   Yes Yes     Yes   Yes Yes
Action   Yes   Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 12 16 19 20 20 20 20 21 21 21 21
Closed Lower 7 7 10 11 14 10 14 11 14 11 11
Penetrated Low 6 7 7 9 12 9 8 10 10 10 5
Scenario Percentage 86% 100% 70% 82% 86% 90% 57% 91% 71% 91% 45%
Avg Max Decline 7.75% 9.56% 8.15% 8.37% 8.44% 9.96% 10.17% 8.25% 7.26% 5.80% 15.12%
Max Decline 22.37% 27.09% 18.97% 20.73% 22.74% 23.43% 15.87% 16.28% 12.15% 11.85% 37.48%
Avg Days To Max Decline 23 15 12 16 17 23 22 15 18 20 9
Avg Max Increase -2.64% -2.00% -0.27% -1.81% -2.50% -4.75% -2.96% -1.51% -3.14% -1.71% -2.27%
Max Increase -5.43% -6.12% -2.40% -6.87% -13.40% -13.47% -5.25% -3.74% -9.69% -5.96% -4.20%
Avg Days to Max Increase 16 8 17 5 9 11 8 3 10 8 4
2007 Contract Condition Yes   Yes     Yes Yes   Yes    
Action Yes   No     Yes No   No    
High 9.37 9.36 9.35 9.77 9.82 9.91 10.36 10.18 10.23 10.34 10.22
Low 9.08 8.81 9.13 9.13 9.25 9.62 9.01 9.15 9.50 9.63 9.75
Close/Last 9.17 9.35 9.21 9.72 9.80 9.72 9.05 9.95 9.81 9.98 10.13

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