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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   17 21 24 25 25 25 25 26 26 26 26
Closed Higher   7 12 12 11 8 13 11 12 11 12 13
Exceeded High   6 10 9 9 5 11 8 11 7 10 9
Scenario Percentage   86% 83% 75% 82% 63% 85% 73% 92% 64% 83% 69%
Avg Max Increase   13.21% 10.90% 5.44% 6.68% 7.26% 15.38% 19.52% 15.92% 9.67% 10.57% 7.71%
Max Increase   29.36% 23.78% 17.68% 11.53% 19.56% 71.94% 87.52% 76.44% 21.38% 27.29% 19.50%
Avg Days To Max Increase   23 20 15 20 10 20 21 11 10 13 13
Avg Max Decline   -1.87% -0.40% -2.50% -3.72% -1.53% -3.56% -2.94% -1.78% -1.98% -2.73% -1.10%
Max Decline   -4.51% -3.08% -6.23% -11.37% -3.49% -7.47% -7.17% -5.41% -6.55% -9.88% -4.72%
Avg Days to Max Decline   12 8 5 17 8 13 9 8 4 7 3
2012 Contract Condition     Yes Yes Yes   Yes Yes   Yes    
Action     Yes Yes Yes   Yes Yes   No    
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   17 21 24 25 25 25 25 26 26 26 26
Closed Lower   10 9 12 14 17 12 14 14 15 14 13
Penetrated Low   9 8 9 12 12 10 8 12 11 12 5
Scenario Percentage   90% 89% 75% 86% 71% 83% 57% 86% 73% 86% 38%
Avg Max Decline   7.42% 9.56% 8.70% 8.64% 8.44% 9.41% 10.17% 10.64% 8.10% 5.83% 4.32%
Max Decline   22.37% 27.09% 19.79% 20.73% 22.74% 23.43% 15.87% 31.81% 16.43% 11.85% 5.97%
Avg Days To Max Decline   21 16 14 18 17 22 22 17 16 17 9
Avg Max Increase   -2.13% -2.36% -0.59% -2.33% -2.50% -4.28% -2.96% -2.00% -3.48% -1.53% -1.93%
Max Increase   -5.43% -6.12% -3.40% -6.89% -13.40% -13.47% -5.25% -8.00% -9.69% -5.96% -3.19%
Avg Days to Max Increase   12 8 14 7 9 10 8 5 10 7 4
2012 Contract Condition   Yes       Yes     Yes   Yes Yes
Action   Yes       No     Yes   Yes Not Yet
High 16.27 16.98 15.77 16.31 16.74 16.60 17.86 18.40 18.81 17.56 17.07 14.95
Low 14.76 14.70 14.17 15.10 15.29 14.77 15.25 16.56 16.14 15.82 14.09 13.51
Close/Last 16.27 15.34 15.58 16.31 16.66 15.49 16.75 18.22 16.26 16.91 14.84 14.61

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