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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   8 14 15 18 19 19 19 19 19 19 19
Closed Higher   4 7 6 11 10 9 6 9 10 9 7
Exceeded High   2 5 5 7 8 5 6 8 7 7 5
Scenario Percentage   50% 71% 83% 64% 80% 56% 100% 89% 70% 78% 71%
Avg Max Increase   6.99% 6.00% 7.17% 10.02% 10.57% 11.02% 19.75% 16.33% 11.62% 8.96% 4.65%
Max Increase   8.45% 12.29% 13.31% 17.80% 24.41% 33.38% 40.53% 30.64% 24.53% 22.37% 9.55%
Avg Days To Max Increase   22 11 11 18 17 21 20 18 10 11 16
Avg Max Decline   -1.39% -0.40% -1.17% -0.84% -2.32% -1.57% -1.18% -2.14% -2.95% -0.56% -1.35%
Max Decline   -2.86% -1.53% -5.11% -1.57% -11.53% -2.98% -3.95% -5.52% -6.82% -3.76% -3.96%
Avg Days to Max Decline   14 8 8 5 10 11 5 9 4 4 1
2008 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes   Yes
Action   Yes Yes Yes Yes Yes Yes Yes Yes No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   8 14 15 18 19 19 19 19 19 19 19
Closed Lower   4 7 9 7 9 10 13 10 9 10 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% 80% 50%
Avg Max Decline   11.49% 6.47% 5.97% 5.91% 12.63% 11.16% 8.83% 10.78% 8.15% 8.41% 5.58%
Max Decline   12.38% 12.27% 10.39% 11.08% 22.56% 18.76% 19.56% 30.58% 21.10% 16.94% 10.04%
Avg Days To Max Decline   26 14 11 19 23 17 22 14 11 11 13
Avg Max Increase   -1.08% -0.55% -0.96% -1.57% -1.86% -1.71% -3.41% -2.73% -5.75% -2.88% -3.41%
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 3
2008 Contract Condition                     Yes  
Action                     Not Yet  
High 12.04 12.10 12.45 12.77 13.98 14.47 15.37 18.34 20.50 25.07 23.50 20.90
Low 11.60 11.75 12.11 12.26 12.67 13.58 14.49 15.35 17.56 19.36 17.70 18.20
Close/Last 11.82 12.10 12.45 12.77 13.69 14.34 15.37 18.34 20.11 21.78 19.10 20.21

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