MRCI's ScenarioSM Study

ScenarioSM Study for May Rough Rice(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		9	15	19	19	21	21	21	22	22	22	22
Closed Higher		5	7	5	9	9	12	11	12	8	11	12
Exceeded High		3	6	3	8	6	9	9	6	7	8	8
Scenario Percentage		60%	86%	60%	89%	67%	75%	82%	50%	88%	73%	67%
Avg Max Increase		17.17%	18.33%	33.81%	8.95%	9.17%	12.12%	12.15%	9.82%	19.47%	17.52%	6.27%
Max Increase		29.20%	69.00%	86.56%	30.43%	19.09%	32.30%	24.38%	33.17%	42.59%	32.42%	14.15%
Avg Days To Max Increase		13	20	21	11	11	19	16	20	21	13	10
Avg Max Decline		-2.00%	-2.10%	-1.45%	-0.67%	-1.26%	-2.57%	-1.16%	-1.48%	-1.13%	-1.82%	-2.03%
Max Decline		-2.60%	-7.28%	-3.73%	-2.79%	-4.09%	-10.06%	-5.26%	-4.19%	-4.21%	-4.02%	-5.31%
Avg Days to Max Decline		16	10	10	9	2	7	5	10	4	7	2
2008 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		No		Yes	Yes	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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		9	15	19	19	21	21	21	22	22	22	22
Closed Lower		4	8	14	10	12	9	10	10	14	11	9
Penetrated Low		2	6	9	10	9	9	7	9	11	8	5
Scenario Percentage		50%	75%	64%	100%	75%	100%	70%	90%	79%	73%	56%
Avg Max Decline		5.86%	9.25%	8.19%	7.39%	6.24%	6.40%	12.89%	11.58%	8.47%	9.65%	6.73%
Max Decline		6.64%	20.21%	15.80%	16.09%	10.48%	11.70%	22.81%	19.07%	19.01%	35.58%	15.43%
Avg Days To Max Decline		19	20	22	17	15	20	23	20	22	9	7
Avg Max Increase		-3.69%	-2.58%	-2.55%	-0.99%	-1.07%	-1.36%	-1.96%	-1.96%	-3.69%	-2.73%	-1.50%
Max Increase		-10.16%	-6.04%	-6.62%	-2.95%	-6.09%	-6.32%	-4.83%	-6.17%	-8.21%	-8.15%	-2.14%
Avg Days to Max Increase		14	13	10	4	6	9	8	12	8	7	2
2008 Contract Condition			Yes
Action			No
High	12.00	12.18	11.77	11.88	12.40	12.65	13.87	14.22	15.15	18.09	20.18	24.69
Low	11.55	11.58	11.35	11.43	11.90	12.20	12.57	13.44	14.25	15.22	17.27	19.05
Close/Last	11.69	11.81	11.60	11.88	12.40	12.65	13.50	14.15	15.15	18.05	19.69	21.48