MRCI's ScenarioSM Study

ScenarioSM Study for September Rough Rice(CBOT) as of Jan 01, 2013
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		13	16	22	23	26	26	26	26	26	26	26
Closed Higher		4	11	11	10	13	15	14	11	9	13	11
Exceeded High		3	7	9	9	11	14	9	9	5	10	6
Scenario Percentage		75%	64%	82%	90%	85%	93%	64%	82%	56%	77%	55%
Avg Max Increase		5.31%	9.21%	8.09%	9.99%	11.01%	10.30%	7.48%	6.88%	8.00%	12.97%	9.74%
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		18	22	17	19	16	14	11	19	10	12	12
Avg Max Decline		-1.30%	-1.42%	-1.95%	-1.81%	-1.17%	-1.40%	-1.75%	-4.69%	-2.86%	-2.38%	-1.53%
Max Decline		-2.87%	-7.69%	-4.80%	-6.96%	-4.59%	-4.31%	-5.28%	-12.46%	-4.54%	-9.44%	-3.97%
Avg Days to Max Decline		2	5	16	6	9	10	5	15	13	4	4
2012 Contract Condition						Yes	Yes	Yes			Yes
Action						Yes	Yes	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		13	16	22	23	26	26	26	26	26	26	26
Closed Lower		9	5	10	13	13	11	12	14	16	13	15
Penetrated Low		6	4	7	12	11	9	12	13	12	9	7
Scenario Percentage		67%	80%	70%	92%	85%	82%	100%	93%	75%	69%	47%
Avg Max Decline		8.27%	7.70%	9.41%	7.56%	8.03%	11.45%	7.83%	9.98%	8.99%	10.07%	3.74%
Max Decline		16.73%	12.43%	19.93%	16.67%	21.93%	28.05%	22.07%	23.56%	25.86%	23.73%	5.57%
Avg Days To Max Decline		12	25	22	17	22	14	16	17	17	16	11
Avg Max Increase		-0.33%	-0.85%	-1.20%	-1.80%	-2.19%	-2.94%	-2.96%	-3.29%	-3.76%	-1.99%	-1.76%
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	8	5	10	9	8	18	8	9	3	4
2012 Contract Condition		Yes	Yes	Yes	Yes				Yes			Yes
Action		Yes	Yes	No	Yes				Yes			Yes
High	18.00	17.07	16.77	15.23	15.37	15.18	15.74	16.20	16.14	15.31	15.84	16.09
Low	17.07	16.27	14.60	13.97	14.50	14.09	14.30	15.16	14.48	14.00	14.53	14.84
Close/Last	17.07	16.77	15.23	15.03	14.50	14.95	15.27	15.36	14.49	14.49	15.62	15.01