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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 Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   15 18 22 22 23 24 24 24 24 24 24
Closed Higher   9 7 8 10 8 11 10 13 12 12 8
Exceeded High   6 6 4 8 6 10 7 10 9 5 5
Scenario Percentage   67% 86% 50% 80% 75% 91% 70% 77% 75% 42% 63%
Avg Max Increase   3.80% 6.40% 6.77% 15.20% 19.79% 15.02% 9.04% 11.68% 12.68% 10.17% 7.84%
Max Increase   8.60% 11.03% 18.05% 70.33% 85.48% 73.40% 19.52% 32.41% 24.77% 31.92% 13.50%
Avg Days To Max Increase   15 23 9 19 21 11 9 19 16 11 10
Avg Max Decline   -2.36% -2.81% -1.89% -3.60% -3.28% -0.99% -1.25% -2.83% -1.74% -1.35% -0.33%
Max Decline   -4.66% -5.62% -3.65% -8.48% -6.86% -3.92% -4.03% -10.08% -6.22% -4.51% -1.77%
Avg Days to Max Decline   6 18 10 15 11 8 4 7 4 9 4
2010 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   15 18 22 22 23 24 24 24 24 24 24
Closed Lower   6 10 13 12 15 13 13 11 12 12 16
Penetrated Low   5 7 10 10 9 11 10 11 10 11 7
Scenario Percentage   83% 70% 77% 83% 60% 85% 77% 100% 83% 92% 44%
Avg Max Decline   8.58% 9.37% 8.40% 8.85% 8.97% 10.20% 7.67% 7.56% 11.30% 10.07% 6.13%
Max Decline   16.85% 20.02% 21.54% 22.30% 16.23% 31.89% 16.45% 14.32% 24.11% 19.90% 9.34%
Avg Days To Max Decline   14 17 18 21 22 17 15 22 24 15 10
Avg Max Increase   -0.58% -2.82% -2.12% -3.73% -2.88% -1.47% -2.22% -3.24% -3.41% -3.09% -0.92%
Max Increase   -3.24% -6.75% -11.61% -12.23% -6.70% -3.80% -8.11% -16.02% -10.15% -12.83% -3.89%
Avg Days to Max Increase   15 13 8 9 9 3 6 11 10 11 3
2010 Contract Condition       Yes     Yes     Yes Yes Yes
Action       No     No     Yes Yes Yes
High 12.75 12.96 12.97 13.18 14.40 14.50 14.63 15.00 15.76 16.27 15.28 14.65
Low 11.97 12.48 12.39 12.62 12.74 13.76 13.50 13.58 14.89 14.52 13.41 13.20
Close/Last 12.68 12.87 12.97 12.74 14.36 14.50 13.82 14.91 15.58 14.89 14.20 13.43

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