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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) as of May 31, 2010
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   39 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 21 24 23 24 28 17 23 17 15 22
Exceeded High   12 12 18 20 19 26 14 17 11 9 10
Scenario Percentage   60% 57% 75% 87% 79% 93% 82% 74% 65% 60% 45%
Avg Max Increase   6.97% 9.22% 8.51% 7.06% 5.97% 7.70% 13.47% 13.52% 14.91% 11.10% 4.06%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 32.50% 20.75% 10.02%
Avg Days To Max Increase   20 16 19 22 15 15 17 15 16 10 6
Avg Max Decline   -0.95% -1.62% -1.35% -1.32% -2.40% -1.97% -1.95% -2.40% -1.08% -1.31% -0.80%
Max Decline   -2.62% -5.93% -6.73% -3.26% -8.22% -10.55% -6.25% -5.50% -5.72% -6.60% -2.19%
Avg Days to Max Decline   8 8 6 11 10 10 12 7 6 3 2
2010 Contract Condition   Yes Yes     Yes   Yes        
Action   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   39 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 24 20 22 21 16 28 22 28 30 23
Penetrated Low   14 16 15 22 16 15 25 20 23 23 13
Scenario Percentage   74% 67% 75% 100% 76% 94% 89% 91% 82% 77% 57%
Avg Max Decline   5.71% 6.63% 4.27% 4.90% 4.01% 6.86% 8.79% 10.20% 12.51% 7.22% 4.55%
Max Decline   25.43% 22.45% 20.47% 17.92% 9.56% 12.01% 18.83% 27.77% 19.93% 17.40% 10.31%
Avg Days To Max Decline   15 13 17 15 12 15 22 21 15 10 8
Avg Max Increase   -1.63% -1.21% -1.32% -1.41% -2.31% -2.41% -3.51% -4.94% -2.90% -1.71% -1.04%
Max Increase   -6.50% -4.22% -3.85% -4.19% -9.03% -5.91% -19.29% -27.18% -18.45% -8.17% -3.60%
Avg Days to Max Increase   8 6 7 9 7 9 13 10 5 4 3
2010 Contract Condition       Yes Yes   Yes   Yes Yes    
Action       Yes Yes   Yes   Not Yet      
High 385.25 438.50 446.50 445.50 447.00 408.00 409.00 384.75 391.00 371.00    
Low 343.50 370.00 399.75 408.00 383.00 376.25 365.25 359.25 362.00 363.00    
Close/Last 381.75 403.75 442.50 437.50 384.25 406.00 366.00 383.50 369.00 364.00    

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