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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Corn(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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Higher 15 15 22 15 21 19 22 22 22 24 18
Exceeded High 12 11 14 12 14 13 18 17 16 23 14
Scenario Percentage 80% 73% 64% 80% 67% 68% 82% 77% 73% 96% 78%
Avg Max Increase 12.94% 11.30% 5.96% 10.53% 7.53% 9.12% 8.29% 8.08% 7.37% 6.11% 6.15%
Max Increase 64.95% 23.43% 11.88% 41.11% 17.13% 28.57% 28.07% 16.47% 30.76% 26.04% 19.70%
Avg Days To Max Increase 10 17 15 16 20 16 18 23 12 8 8
Avg Max Decline -0.61% -2.74% -2.68% -2.91% -1.18% -1.85% -2.34% -1.99% -2.51% -1.51% -0.93%
Max Decline -4.17% -10.75% -10.29% -9.93% -2.88% -7.94% -9.03% -5.24% -9.53% -10.93% -5.25%
Avg Days to Max Decline 4 7 13 11 12 9 11 15 8 7 3
2009 Contract Condition Yes           Yes     Yes  
Action No           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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 37 45 45 45 45 45 45 45 45 45 45
Closed Lower 22 30 23 30 23 25 22 23 23 21 27
Penetrated Low 20 23 16 24 16 18 16 22 15 15 19
Scenario Percentage 91% 77% 70% 80% 70% 72% 73% 96% 65% 71% 70%
Avg Max Decline 9.78% 6.28% 6.68% 6.57% 7.85% 6.65% 4.99% 5.76% 5.23% 6.78% 10.29%
Max Decline 18.43% 19.10% 36.47% 29.80% 26.70% 22.00% 24.08% 19.54% 13.19% 11.33% 41.97%
Avg Days To Max Decline 19 20 15 23 16 14 16 17 16 11 12
Avg Max Increase -2.21% -1.86% -1.19% -2.15% -1.84% -1.53% -1.65% -1.69% -1.86% -1.35% -2.36%
Max Increase -13.32% -9.45% -3.88% -4.86% -5.93% -3.33% -4.64% -4.18% -4.53% -5.66% -12.57%
Avg Days to Max Increase 4 9 4 11 9 8 10 7 5 8 4
2009 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes   Yes
Action   Yes Yes Yes Yes Yes   Yes Yes   Not Yet
High 822.00 808.75 658.00 610.00 530.00 451.00 433.50 439.50 400.00 406.00 407.50
Low 646.50 594.50 532.00 517.75 391.50 364.00 315.75 369.75 350.50 344.50 360.50
Close/Last 781.00 640.00 616.25 518.50 430.75 377.25 417.75 390.25 359.00 404.75 396.25

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