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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 12 15 19 19 20 21 21 21 21 21 21
Closed Higher 7 6 6 9 5 10 8 11 10 11 6
Exceeded High 5 5 4 7 3 9 5 8 8 4 4
Scenario Percentage 71% 83% 67% 78% 60% 90% 62% 73% 80% 36% 67%
Avg Max Increase 4.06% 5.48% 6.77% 17.11% 33.40% 15.34% 8.28% 12.52% 11.17% 4.74% 6.55%
Max Increase 8.60% 10.04% 18.05% 70.33% 85.48% 73.40% 19.52% 32.41% 22.94% 10.38% 13.50%
Avg Days To Max Increase 17 21 9 22 15 9 4 18 15 11 10
Avg Max Decline -2.09% -2.82% -1.89% -3.51% -3.20% -0.87% -1.61% -3.40% -1.99% -1.70% -0.13%
Max Decline -4.66% -5.62% -3.65% -8.48% -5.18% -3.92% -4.03% -10.08% -6.22% -4.51% -1.77%
Avg Days to Max Decline 5 16 10 14 10 7 3 8 3 11 2
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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 12 15 19 19 20 21 21 21 21 21 21
Closed Lower 5 9 12 10 15 11 12 10 11 10 15
Penetrated Low 4 6 10 9 9 10 9 10 9 9 8
Scenario Percentage 80% 67% 83% 90% 60% 91% 75% 100% 82% 90% 53%
Avg Max Decline 10.43% 9.35% 8.40% 9.34% 8.97% 8.03% 6.70% 6.89% 11.29% 10.37% 10.18%
Max Decline 16.85% 20.02% 21.54% 22.30% 16.23% 15.68% 11.17% 12.19% 24.11% 19.90% 36.17%
Avg Days To Max Decline 13 15 18 22 22 17 16 22 24 15 10
Avg Max Increase 0.09% -2.16% -2.12% -4.14% -2.88% -1.69% -1.87% -1.96% -3.50% -2.00% -1.92%
Max Increase -2.60% -6.72% -11.61% -12.23% -6.70% -3.80% -8.11% -6.74% -10.15% -5.91% -6.69%
Avg Days to Max Increase 18 11 8 10 9 4 6 9 10 12 6
2007 Contract Condition Yes     Yes Yes   Yes     Yes  
Action No     Yes No   No     Yes  
High 9.50 9.88 10.01 10.11 10.52 10.45 10.49 10.58 10.52 10.76 10.48
Low 9.29 9.30 9.42 9.82 9.30 9.43 9.80 10.05 10.04 10.05 9.94
Close/Last 9.44 9.82 9.95 9.91 9.35 10.20 10.08 10.28 10.43 10.10 10.22

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