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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 15 18 22 22 23 23 23 23 23 24 24
Closed Higher 9 9 12 13 11 10 8 11 10 11 10
Exceeded High 6 7 10 11 7 8 5 9 7 10 8
Scenario Percentage 67% 78% 83% 85% 64% 80% 62% 82% 70% 91% 80%
Avg Max Increase 8.58% 10.43% 11.38% 11.56% 6.78% 6.42% 8.00% 15.88% 18.62% 15.52% 7.01%
Max Increase 23.64% 21.75% 32.87% 26.57% 17.97% 12.16% 21.51% 73.73% 88.47% 77.97% 20.23%
Avg Days To Max Increase 14 19 17 17 14 18 10 20 22 9 11
Avg Max Decline -0.39% -1.64% -0.96% -1.27% -1.91% -1.86% -2.31% -4.38% -4.35% -1.57% -0.75%
Max Decline -1.03% -7.59% -4.56% -3.17% -5.44% -4.97% -3.40% -8.92% -7.67% -4.81% -3.15%
Avg Days to Max Decline 3 5 5 8 6 15 10 13 12 8 2
2009 Contract Condition Yes     Yes Yes Yes   Yes Yes   Yes
Action No     Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 15 18 22 22 23 23 23 23 23 24 24
Closed Lower 6 9 10 9 12 13 15 12 13 13 14
Penetrated Low 4 8 8 8 9 10 12 10 7 9 8
Scenario Percentage 67% 89% 80% 89% 75% 77% 80% 83% 54% 69% 57%
Avg Max Decline 8.54% 6.66% 7.96% 9.57% 7.77% 9.81% 9.47% 10.22% 10.22% 10.44% 12.40%
Max Decline 18.79% 14.69% 22.83% 27.06% 19.01% 22.47% 25.00% 24.70% 16.14% 25.91% 33.40%
Avg Days To Max Decline 23 22 21 13 14 17 18 22 23 13 10
Avg Max Increase -1.89% -2.40% -2.12% -2.66% -1.97% -3.23% -3.00% -4.97% -3.37% -1.31% -2.59%
Max Increase -3.92% -8.99% -5.85% -6.20% -5.49% -8.33% -14.10% -15.71% -5.22% -3.35% -6.64%
Avg Days to Max Increase 11 13 9 9 16 8 9 10 7 3 3
2009 Contract Condition   Yes Yes       Yes     Yes  
Action   Yes Yes       No     Not Yet  
High 13.95 13.70 12.78 12.39 12.56 12.69 13.00 14.16 14.30 14.22 14.45
Low 13.05 12.06 11.97 11.46 11.86 11.92 12.00 12.37 13.31 13.00 13.05
Close/Last 13.70 12.19 12.15 12.24 12.44 12.62 12.45 14.00 14.08 13.32 14.36

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