MRCI's ScenarioSM Study

ScenarioSM Study for May Rough Rice(CBOT) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	10	16	20	20	22	22	22	23	23	23	23
Closed Higher	6	7	6	10	9	12	12	12	9	11	13
Exceeded High	3	6	4	8	6	9	9	6	8	8	8
Scenario Percentage	50%	86%	67%	80%	67%	75%	75%	50%	89%	73%	62%
Avg Max Increase	17.17%	18.33%	26.98%	8.95%	9.17%	12.12%	12.15%	9.82%	17.89%	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	22	11	11	19	16	20	20	13	10
Avg Max Decline	-2.00%	-2.10%	-2.07%	-0.67%	-1.26%	-2.57%	-1.16%	-1.48%	-2.39%	-1.82%	-2.03%
Max Decline	-2.60%	-7.28%	-3.91%	-2.79%	-4.09%	-10.06%	-5.26%	-4.19%	-11.22%	-4.02%	-5.31%
Avg Days to Max Decline	16	10	8	9	2	7	5	10	6	7	2
2009 Contract Condition	Yes		Yes	Yes			Yes		Yes		Yes
Action	No		Yes	No			No		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	10	16	20	20	22	22	22	23	23	23	23
Closed Lower	4	9	14	10	13	10	10	11	14	12	9
Penetrated Low	2	7	9	10	10	10	7	10	11	8	5
Scenario Percentage	50%	78%	64%	100%	77%	100%	70%	91%	79%	67%	56%
Avg Max Decline	5.86%	8.56%	8.19%	7.39%	7.24%	7.16%	12.89%	11.09%	8.47%	9.65%	6.73%
Max Decline	6.64%	20.21%	15.80%	16.09%	16.30%	14.03%	22.81%	19.07%	19.01%	35.58%	15.43%
Avg Days To Max Decline	19	19	22	17	13	21	23	19	22	9	7
Avg Max Increase	-3.69%	-2.21%	-2.55%	-0.99%	-1.37%	-2.69%	-1.96%	-2.90%	-3.69%	-2.73%	-1.50%
Max Increase	-10.16%	-6.04%	-6.62%	-2.95%	-6.09%	-14.65%	-4.83%	-11.33%	-8.21%	-8.15%	-2.14%
Avg Days to Max Increase	14	11	10	4	5	11	8	11	8	7	2
2009 Contract Condition		Yes			Yes	Yes		Yes		Yes
Action		Yes			Yes	Yes		Yes		Not Yet
High	20.89	20.10	19.82	21.11	19.80	16.53	15.69	15.46	13.36	13.04	13.47
Low	18.75	17.82	17.05	19.05	15.27	13.50	13.30	11.76	11.84	11.20	12.11
Close/Last	20.10	17.84	19.82	19.84	15.89	13.68	15.46	12.00	12.61	12.41	12.90