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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   18 21 25 25 26 26 26 26 26 27 27
Closed Higher   10 10 13 15 13 11 9 14 12 13 12
Exceeded High   7 8 11 13 8 9 6 12 9 11 9
Scenario Percentage   70% 80% 85% 87% 62% 82% 67% 86% 75% 85% 75%
Avg Max Increase   8.98% 9.64% 11.10% 10.84% 6.32% 6.54% 8.48% 14.62% 18.41% 16.08% 6.90%
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   13 18 18 17 12 19 9 19 21 9 11
Avg Max Decline   -0.99% -1.55% -1.18% -1.43% -1.74% -3.00% -1.92% -3.76% -3.65% -1.93% -1.30%
Max Decline   -4.57% -7.59% -4.56% -3.52% -5.44% -12.11% -3.40% -8.92% -7.67% -5.53% -5.72%
Avg Days to Max Decline   4 5 5 7 6 17 9 11 10 8 2
2012 Contract Condition       Yes Yes Yes   Yes Yes   Yes  
Action       Yes Yes No   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   18 21 25 25 26 26 26 26 26 27 27
Closed Lower   8 11 12 10 13 15 17 12 14 14 15
Penetrated Low   5 10 10 9 10 12 12 10 8 10 7
Scenario Percentage   63% 91% 83% 90% 77% 80% 71% 83% 57% 71% 47%
Avg Max Decline   7.95% 6.66% 8.19% 9.59% 9.06% 9.82% 9.47% 10.22% 9.55% 10.04% 4.03%
Max Decline   18.79% 14.69% 22.83% 27.06% 20.73% 22.47% 25.00% 24.70% 16.14% 25.91% 6.95%
Avg Days To Max Decline   23 21 21 14 15 17 18 22 21 13 10
Avg Max Increase   -2.03% -2.02% -2.03% -3.01% -1.78% -2.74% -3.00% -4.97% -2.98% -2.00% -1.64%
Max Increase   -3.92% -8.99% -5.85% -6.20% -5.49% -8.33% -14.10% -15.71% -5.22% -8.21% -4.62%
Avg Days to Max Increase   10 11 8 9 14 6 9 10 7 5 2
2012 Contract Condition   Yes Yes       Yes     Yes   Yes
Action   No Yes       Yes     Yes   Yes
High 16.46 15.32 15.46 15.30 15.99 16.43 16.38 15.43 16.12 16.37 15.49 15.45
Low 14.90 14.16 14.72 14.38 14.65 15.35 14.75 14.27 14.76 15.11 14.55 14.67
Close/Last 15.26 15.21 14.72 15.19 15.52 15.61 14.75 14.76 15.90 15.29 15.48 14.83

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