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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 May 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 Sep 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
2010 Contract Condition   Yes Yes                  
Action   No 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 Sep 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 6
Scenario Percentage   63% 100% 75% 91% 82% 80% 100% 92% 86% 69% 43%
Avg Max Decline   6.58% 7.50% 10.12% 7.64% 7.69% 11.60% 6.53% 9.84% 8.99% 10.16% 3.83%
Max Decline   13.95% 12.43% 19.93% 16.67% 21.93% 28.05% 17.64% 23.56% 25.86% 24.54% 6.53%
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% -2.06%
Max Increase   -4.17% -3.16% -2.94% -7.30% -6.00% -6.49% -11.65% -8.59% -16.01% -7.27% -3.52%
Avg Days to Max Increase   2 10 5 12 11 8 19 9 9 3 4
2010 Contract Condition       Yes Yes Yes Yes Yes Yes Yes    
Action       Yes Yes Yes Yes Yes Not Yet      
High 14.10 14.40 14.33 14.33 14.14 13.95 13.44 13.00 12.24 11.70    
Low 13.75 13.84 14.04 13.89 13.23 13.19 12.22 12.07 11.00 11.46    
Close/Last 14.07 14.24 14.28 13.90 13.80 13.38 12.27 12.26 11.67 11.61    

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