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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of Jan 01, 2008
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 26 31 31 33 33 33 33 33 33 33 33
Closed Higher 10 15 14 19 17 17 15 12 12 16 16
Exceeded High 7 11 9 17 10 8 9 10 8 13 11
Scenario Percentage 70% 73% 64% 89% 59% 47% 60% 83% 67% 81% 69%
Avg Max Increase 13.79% 8.38% 9.82% 10.68% 11.74% 7.06% 8.57% 10.06% 11.73% 9.45% 7.85%
Max Increase 24.52% 18.48% 21.88% 36.29% 20.50% 14.90% 33.09% 18.85% 27.04% 23.85% 13.64%
Avg Days To Max Increase 14 16 18 16 20 10 9 17 16 11 8
Avg Max Decline 0.30% -4.45% -3.51% -2.00% -0.58% -2.05% -1.27% -2.68% -3.78% -2.65% -1.88%
Max Decline -2.19% -7.41% -13.02% -10.00% -3.61% -6.85% -4.39% -8.72% -8.58% -8.53% -6.88%
Avg Days to Max Decline 6 9 11 7 7 4 4 8 21 6 2
2007 Contract Condition Yes Yes   Yes Yes Yes Yes     Yes  
Action Yes Yes   Yes Yes Yes No     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 26 31 31 33 33 33 33 33 33 33 33
Closed Lower 16 16 17 14 15 15 18 20 21 16 17
Penetrated Low 14 11 9 11 12 11 11 18 16 10 11
Scenario Percentage 88% 69% 53% 79% 80% 73% 61% 90% 76% 62% 65%
Avg Max Decline 9.04% 7.52% 6.58% 7.32% 7.55% 8.67% 8.41% 9.26% 9.96% 11.99% 17.67%
Max Decline 22.98% 18.10% 13.54% 16.89% 17.25% 23.83% 19.28% 17.29% 21.46% 25.88% 41.00%
Avg Days To Max Decline 13 17 19 24 17 18 23 17 19 18 16
Avg Max Increase -1.54% -2.89% -3.96% -4.09% -3.23% -2.11% -3.64% -2.45% -2.89% -3.16% -4.69%
Max Increase -9.75% -9.55% -9.17% -11.72% -7.89% -6.10% -8.54% -9.60% -16.53% -11.06% -16.94%
Avg Days to Max Increase 4 9 7 14 10 14 14 6 7 8 6
2007 Contract Condition     Yes         Yes Yes   Yes
Action     No         Yes Yes   Yes
High 212.00 213.00 206.50 215.00 254.00 287.00 287.25 282.50 270.00 302.00 287.00
Low 194.00 200.50 195.00 201.00 216.25 249.50 265.00 254.00 245.50 240.00 251.50
Close/Last 201.00 210.00 201.00 215.00 248.50 273.00 277.00 266.75 259.25 276.50 261.00

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