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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 Apr 30, 2011
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   11 14 20 21 24 24 24 24 24 24 24
Closed Higher   3 11 10 9 12 13 12 10 9 11 10
Exceeded High   2 7 8 8 10 12 8 8 5 8 5
Scenario Percentage   67% 64% 80% 89% 83% 92% 67% 80% 56% 73% 50%
Avg Max Increase   6.56% 9.21% 7.60% 10.64% 11.25% 10.83% 7.99% 6.77% 8.00% 14.17% 11.04%
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% -2.69% -1.69%
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 4 3
2011 Contract Condition   Yes   Yes Yes   Yes Yes Yes      
Action   Yes   Yes Yes   Yes 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   11 14 20 21 24 24 24 24 24 24 24
Closed Lower   8 3 9 12 12 11 12 13 15 13 14
Penetrated Low   5 3 7 11 10 9 12 12 12 9 6
Scenario Percentage   63% 100% 78% 92% 83% 82% 100% 92% 80% 69% 43%
Avg Max Decline   6.58% 7.50% 9.41% 7.99% 7.90% 11.45% 7.83% 10.53% 8.99% 10.16% 3.83%
Max Decline   13.95% 12.43% 19.93% 16.67% 21.93% 28.05% 22.07% 23.56% 25.86% 24.54% 6.53%
Avg Days To Max Decline   8 24 22 19 23 14 16 18 17 16 12
Avg Max Increase   -0.40% -1.13% -1.20% -1.96% -2.14% -2.94% -2.96% -3.51% -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 11 10 8 18 9 9 3 4
2011 Contract Condition     Yes     Yes            
Action     No     Yes            
High 13.49 14.93 15.07 14.93 15.93 16.69 15.25 15.74 16.20      
Low 12.66 13.26 13.54 14.00 14.19 13.99 13.42 14.45 15.93      
Close/Last 13.49 14.66 14.42 14.90 15.93 14.81 15.05 15.74 16.01      

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