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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, 2013
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   12 18 19 22 23 23 23 23 23 23 23
Closed Higher   8 9 9 12 12 10 8 10 14 10 7
Exceeded High   6 6 7 8 9 6 8 9 8 8 5
Scenario Percentage   75% 67% 78% 67% 75% 60% 100% 90% 57% 80% 71%
Avg Max Increase   8.93% 7.96% 7.01% 9.21% 10.94% 10.02% 16.72% 15.26% 10.68% 8.62% 4.45%
Max Increase   26.96% 17.78% 13.31% 17.80% 24.41% 33.38% 40.53% 30.64% 24.53% 22.37% 9.55%
Avg Days To Max Increase   23 10 11 18 16 19 20 19 9 12 15
Avg Max Decline   -2.00% -1.17% -1.55% -0.74% -2.58% -1.64% -2.76% -2.05% -2.61% -2.12% -1.35%
Max Decline   -6.01% -5.05% -5.11% -1.57% -11.53% -2.98% -10.82% -5.52% -6.82% -13.01% -3.96%
Avg Days to Max Decline   10 7 6 5 10 11 7 8 4 7 1
2012 Contract Condition   Yes   Yes       Yes Yes Yes    
Action   Yes   No       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   12 18 19 22 23 23 23 23 23 23 23
Closed Lower   4 9 10 10 11 13 15 13 9 13 16
Penetrated Low   2 8 7 9 9 12 12 9 9 10 6
Scenario Percentage   50% 89% 70% 90% 82% 92% 80% 69% 100% 77% 38%
Avg Max Decline   11.49% 7.26% 7.29% 7.11% 11.84% 10.41% 9.46% 10.49% 8.15% 8.86% 5.34%
Max Decline   12.38% 12.73% 15.20% 14.46% 22.56% 18.76% 19.56% 30.58% 21.10% 20.07% 10.04%
Avg Days To Max Decline   26 16 10 20 21 16 21 15 11 11 12
Avg Max Increase   -1.08% -1.34% -1.38% -2.74% -1.81% -2.32% -3.06% -3.47% -5.75% -2.52% -3.41%
Max Increase   -2.36% -6.85% -4.75% -13.34% -5.08% -10.88% -7.38% -9.42% -27.43% -11.68% -7.69%
Avg Days to Max Increase   4 9 7 12 7 11 7 8 19 5 3
2012 Contract Condition     Yes   Yes Yes Yes       Yes Yes
Action     Yes   Yes Yes Yes       Yes Not Yet
High 18.42 18.90 19.38 18.25 17.67 15.72 15.60 14.95 15.52 16.04 15.90 15.05
Low 16.06 17.26 16.99 16.67 14.91 14.39 14.54 14.08 14.08 14.84 14.21 13.73
Close/Last 17.59 18.90 17.09 17.73 15.67 15.37 14.54 14.73 15.04 15.13 14.23 14.19

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