MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		9	12	18	19	22	22	22	22	22	22	22
Closed Higher		2	10	9	9	11	12	11	9	9	9	8
Exceeded High		2	7	8	8	10	11	7	7	5	6	4
Scenario Percentage		100%	70%	89%	89%	91%	92%	64%	78%	56%	67%	50%
Avg Max Increase		6.56%	9.21%	7.60%	10.64%	11.25%	11.43%	8.47%	6.19%	8.00%	16.36%	11.89%
Max Increase		11.11%	25.44%	23.19%	23.16%	34.06%	26.96%	22.02%	11.61%	21.03%	65.96%	39.29%
Avg Days To Max Increase		22	22	18	20	16	12	12	16	10	14	12
Avg Max Decline		-0.51%	-1.42%	-1.60%	-1.89%	-0.87%	-1.15%	-1.52%	-3.49%	-2.86%	-2.70%	-2.07%
Max Decline		-0.72%	-7.69%	-4.42%	-6.96%	-4.59%	-4.31%	-5.28%	-11.83%	-4.54%	-9.44%	-3.97%
Avg Days to Max Decline		2	5	17	5	9	8	4	10	13	3	4
2008 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	No		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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		9	12	18	19	22	22	22	22	22	22	22
Closed Lower		7	2	8	10	11	10	11	12	13	13	14
Penetrated Low		4	2	6	9	9	8	11	11	12	9	6
Scenario Percentage		57%	100%	75%	90%	82%	80%	100%	92%	92%	69%	43%
Avg Max Decline		4.74%	5.04%	10.12%	7.95%	7.69%	11.60%	6.53%	9.84%	8.99%	10.07%	3.66%
Max Decline		7.41%	8.82%	19.93%	16.67%	21.93%	28.05%	17.64%	23.56%	25.86%	23.73%	5.57%
Avg Days To Max Decline		9	21	22	18	23	14	14	17	17	16	12
Avg Max Increase		0.55%	-0.11%	-1.11%	-1.47%	-2.33%	-2.55%	-3.24%	-3.80%	-3.76%	-1.99%	-2.06%
Max Increase		0.00%	-0.23%	-2.94%	-6.50%	-6.00%	-6.49%	-11.65%	-8.59%	-16.01%	-7.27%	-3.52%
Avg Days to Max Increase		2	1	5	12	11	8	19	9	9	3	4
2008 Contract Condition									Yes		Yes
Action									Yes		Yes
High	12.33	12.45	13.34	13.80	14.77	17.16	18.19	22.79	21.35	20.09	19.18	18.90
Low	11.89	11.90	12.33	13.22	13.81	14.76	16.22	17.58	17.06	17.66	16.50	15.83
Close/Last	12.13	12.42	13.26	13.80	14.77	17.16	17.95	19.69	18.50	18.97	16.58	18.90