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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   11 17 21 21 23 23 23 24 24 24 24
Closed Higher   6 8 7 10 10 13 12 12 9 11 14
Exceeded High   3 7 5 8 7 10 9 6 8 8 8
Scenario Percentage   50% 88% 71% 80% 70% 77% 75% 50% 89% 73% 57%
Avg Max Increase   17.17% 16.04% 22.19% 8.95% 9.10% 11.30% 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 18 23 11 11 19 16 20 20 13 10
Avg Max Decline   -2.00% -2.31% -2.87% -0.67% -1.08% -2.31% -1.16% -1.48% -2.39% -1.82% -2.03%
Max Decline   -2.60% -7.28% -6.09% -2.79% -4.09% -10.06% -5.26% -4.19% -11.22% -4.02% -5.31%
Avg Days to Max Decline   16 11 11 9 2 7 5 10 6 7 2
2010 Contract Condition     Yes Yes   Yes Yes         Yes
Action     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   11 17 21 21 23 23 23 24 24 24 24
Closed Lower   5 9 14 11 13 10 11 12 15 13 9
Penetrated Low   2 7 9 10 10 10 8 11 12 9 5
Scenario Percentage   40% 78% 64% 91% 77% 100% 73% 92% 80% 69% 56%
Avg Max Decline   5.86% 8.56% 8.19% 7.39% 7.24% 7.16% 12.62% 11.57% 8.87% 9.30% 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 20 22 9 7
Avg Max Increase   -3.69% -2.21% -2.55% -0.99% -1.37% -2.69% -1.94% -2.88% -3.51% -3.54% -1.50%
Max Increase   -10.16% -6.04% -6.62% -2.95% -6.09% -14.65% -4.83% -11.33% -8.21% -9.99% -2.14%
Avg Days to Max Increase   14 11 10 4 5 11 8 11 7 8 2
2010 Contract Condition   Yes     Yes     Yes Yes Yes Yes  
Action   No     No     Yes Yes Yes Yes  
High 13.14 13.32 14.52 14.70 14.85 15.14 16.00 16.46 15.42 14.89 13.97 13.44
Low 12.72 12.82 12.88 14.00 13.80 13.87 15.14 14.76 13.74 13.53 12.13 11.93
Close/Last 13.14 12.88 14.52 14.70 14.05 15.14 15.84 15.15 14.51 13.76 12.22 12.36

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