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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 7 13 14 17 18 18 18 18 18 18 18
Closed Higher 3 6 5 10 9 8 5 8 9 9 6
Exceeded High 1 4 4 6 7 4 5 7 7 7 4
Scenario Percentage 33% 67% 80% 60% 78% 50% 100% 88% 78% 78% 67%
Avg Max Increase 8.45% 4.42% 5.63% 9.64% 8.59% 5.43% 15.60% 15.14% 11.62% 8.96% 4.64%
Max Increase 8.45% 6.99% 13.07% 17.80% 14.36% 12.92% 40.40% 30.64% 24.53% 22.37% 9.55%
Avg Days To Max Increase 13 7 7 16 15 18 19 17 10 11 16
Avg Max Decline -2.86% -0.11% -1.27% -0.85% -2.80% -1.93% -1.09% -1.91% -2.95% -0.56% -0.69%
Max Decline -2.86% -1.35% -5.11% -1.57% -11.53% -2.98% -3.95% -5.52% -6.82% -3.76% -1.80%
Avg Days to Max Decline 12 8 10 6 10 14 4 10 4 4 2
2007 Contract Condition   Yes   Yes Yes   Yes       Yes
Action   No   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 7 13 14 17 18 18 18 18 18 18 18
Closed Lower 4 7 9 7 9 10 13 10 9 9 12
Penetrated Low 2 7 6 7 7 9 10 8 9 8 6
Scenario Percentage 50% 100% 67% 100% 78% 90% 77% 80% 100% 89% 50%
Avg Max Decline 11.49% 6.47% 5.97% 5.91% 12.63% 11.16% 8.83% 10.78% 8.15% 8.13% 13.43%
Max Decline 12.38% 12.27% 10.39% 11.08% 22.56% 18.76% 19.56% 30.58% 21.10% 16.94% 47.32%
Avg Days To Max Decline 26 14 11 19 23 17 22 14 11 10 16
Avg Max Increase -1.08% -0.55% -0.96% -1.57% -1.86% -1.71% -3.41% -2.73% -5.75% -2.88% -4.38%
Max Increase -2.36% -2.04% -4.75% -6.55% -5.08% -5.96% -7.38% -7.47% -27.43% -11.68% -7.69%
Avg Days to Max Increase 4 7 8 11 8 13 8 8 19 7 5
2007 Contract Condition Yes   Yes     Yes   Yes Yes Yes  
Action No   No     Yes   No Yes Yes  
High 10.90 10.80 10.74 10.75 10.85 11.05 11.00 11.14 10.70 10.87 10.95
Low 9.86 9.98 10.29 10.41 10.45 10.65 10.52 10.03 10.06 10.09 9.92
Close/Last 9.86 10.65 10.48 10.58 10.79 10.68 10.80 10.43 10.30 10.21 10.39

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