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MRCI's Scenario Study

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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

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