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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 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   10 16 17 20 21 21 21 21 21 21 21
Closed Higher   6 8 7 12 11 9 7 9 12 9 7
Exceeded High   4 5 6 8 8 5 7 8 7 7 5
Scenario Percentage   67% 63% 86% 67% 73% 56% 100% 89% 58% 78% 71%
Avg Max Increase   6.01% 6.00% 7.36% 9.21% 10.57% 11.02% 17.80% 16.33% 11.62% 8.96% 4.45%
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   24 11 11 18 17 21 19 18 10 11 15
Avg Max Decline   -2.97% -0.40% -0.98% -0.74% -2.32% -1.57% -2.55% -2.14% -2.95% -0.56% -1.35%
Max Decline   -6.01% -1.53% -5.11% -1.57% -11.53% -2.98% -10.82% -5.52% -6.82% -3.76% -3.96%
Avg Days to Max Decline   13 8 7 5 10 11 6 9 4 4 1
2010 Contract Condition   Yes   Yes Yes         Yes    
Action   Yes   Yes Yes         No    
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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   10 16 17 20 21 21 21 21 21 21 21
Closed Lower   4 8 10 8 10 12 14 12 9 12 14
Penetrated Low   2 7 7 8 8 11 11 9 9 9 6
Scenario Percentage   50% 88% 70% 100% 80% 92% 79% 75% 100% 75% 43%
Avg Max Decline   11.49% 6.47% 7.29% 6.98% 12.27% 11.06% 9.22% 10.49% 8.15% 9.46% 5.34%
Max Decline   12.38% 12.27% 15.20% 14.46% 22.56% 18.76% 19.56% 30.58% 21.10% 20.07% 10.04%
Avg Days To Max Decline   26 14 10 20 23 18 22 15 11 12 12
Avg Max Increase   -1.08% -0.55% -1.38% -3.04% -1.85% -2.57% -3.20% -3.47% -5.75% -2.64% -3.41%
Max Increase   -2.36% -2.04% -4.75% -13.34% -5.08% -10.88% -7.38% -9.42% -27.43% -11.68% -7.69%
Avg Days to Max Increase   4 7 7 13 7 12 8 8 19 6 3
2010 Contract Condition     Yes     Yes Yes Yes Yes   Yes Yes
Action     No     Yes Yes Yes Yes   Yes Not Yet
High 14.62 14.90 15.06 15.37 16.23 16.65 15.65 15.02 14.20 13.71 12.66 11.73
Low 13.09 14.30 14.00 14.08 15.37 15.11 13.98 13.87 12.43 12.20 11.50 9.30
Close/Last 14.62 14.90 14.28 15.37 16.08 15.37 14.73 14.04 12.53 12.61 11.64 9.43

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