MRCI's ScenarioSM Study

ScenarioSM Study for September Rough Rice(CBOT) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	10	13	19	20	23	23	23	23	23	23	23
Closed Higher	2	10	10	9	12	13	12	10	9	10	9
Exceeded High	2	7	8	8	10	12	8	8	5	7	4
Scenario Percentage	100%	70%	80%	89%	83%	92%	67%	80%	56%	70%	44%
Avg Max Increase	6.56%	9.21%	7.60%	10.64%	11.25%	10.83%	7.99%	6.77%	8.00%	14.33%	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	14	12	18	10	13	12
Avg Max Decline	-0.51%	-1.42%	-1.60%	-1.89%	-0.87%	-1.24%	-1.91%	-3.72%	-2.86%	-2.53%	-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	11	5	13	13	3	4
2009 Contract Condition			Yes		Yes	Yes	Yes	Yes		Yes	Yes
Action			No		No	Yes	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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	10	13	19	20	23	23	23	23	23	23	23
Closed Lower	8	3	8	11	11	10	11	12	14	13	14
Penetrated Low	5	3	6	10	9	8	11	11	12	9	8
Scenario Percentage	62%	100%	75%	91%	82%	80%	100%	92%	86%	69%	57%
Avg Max Decline	6.58%	7.50%	10.12%	7.64%	7.69%	11.60%	6.53%	9.84%	8.99%	10.16%	5.86%
Max Decline	13.95%	12.43%	19.93%	16.67%	21.93%	28.05%	17.64%	23.56%	25.86%	24.54%	20.37%
Avg Days To Max Decline	8	24	22	18	23	14	14	17	17	16	12
Avg Max Increase	-0.40%	-1.13%	-1.11%	-2.05%	-2.33%	-2.55%	-3.24%	-3.80%	-3.76%	-1.99%	-4.25%
Max Increase	-4.17%	-3.16%	-2.94%	-7.30%	-6.00%	-6.49%	-11.65%	-8.59%	-16.01%	-7.27%	-11.75%
Avg Days to Max Increase	2	10	5	12	11	8	19	9	9	3	7
2009 Contract Condition	Yes	Yes		Yes					Yes
Action	Yes	Yes		Yes					No
High	18.50	15.98	14.03	13.77	12.86	12.62	12.55	12.63	13.00	13.94	14.06
Low	15.15	13.60	13.20	11.91	11.85	11.40	11.86	11.85	11.91	12.24	13.05
Close/Last	15.34	13.60	13.76	11.98	12.11	12.12	12.42	12.58	12.34	13.76	13.86