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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 10 16 20 20 22 22 22 23 23 23 23
Closed Higher 6 7 6 10 9 12 12 12 9 11 13
Exceeded High 3 6 4 8 6 9 9 6 8 8 8
Scenario Percentage 50% 86% 67% 80% 67% 75% 75% 50% 89% 73% 62%
Avg Max Increase 17.17% 18.33% 26.98% 8.95% 9.17% 12.12% 12.15% 9.82% 17.89% 17.52% 6.27%
Max Increase 29.20% 69.00% 86.56% 30.43% 19.09% 32.30% 24.38% 33.17% 42.59% 32.42% 14.15%
Avg Days To Max Increase 13 20 22 11 11 19 16 20 20 13 10
Avg Max Decline -2.00% -2.10% -2.07% -0.67% -1.26% -2.57% -1.16% -1.48% -2.39% -1.82% -2.03%
Max Decline -2.60% -7.28% -3.91% -2.79% -4.09% -10.06% -5.26% -4.19% -11.22% -4.02% -5.31%
Avg Days to Max Decline 16 10 8 9 2 7 5 10 6 7 2
2009 Contract Condition Yes   Yes Yes     Yes   Yes   Yes
Action No   Yes No     No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 10 16 20 20 22 22 22 23 23 23 23
Closed Lower 4 9 14 10 13 10 10 11 14 12 9
Penetrated Low 2 7 9 10 10 10 7 10 11 8 5
Scenario Percentage 50% 78% 64% 100% 77% 100% 70% 91% 79% 67% 56%
Avg Max Decline 5.86% 8.56% 8.19% 7.39% 7.24% 7.16% 12.89% 11.09% 8.47% 9.65% 6.73%
Max Decline 6.64% 20.21% 15.80% 16.09% 16.30% 14.03% 22.81% 19.07% 19.01% 35.58% 15.43%
Avg Days To Max Decline 19 19 22 17 13 21 23 19 22 9 7
Avg Max Increase -3.69% -2.21% -2.55% -0.99% -1.37% -2.69% -1.96% -2.90% -3.69% -2.73% -1.50%
Max Increase -10.16% -6.04% -6.62% -2.95% -6.09% -14.65% -4.83% -11.33% -8.21% -8.15% -2.14%
Avg Days to Max Increase 14 11 10 4 5 11 8 11 8 7 2
2009 Contract Condition   Yes     Yes Yes   Yes   Yes  
Action   Yes     Yes Yes   Yes   Not Yet  
High 20.89 20.10 19.82 21.11 19.80 16.53 15.69 15.46 13.36 13.04 13.47
Low 18.75 17.82 17.05 19.05 15.27 13.50 13.30 11.76 11.84 11.20 12.11
Close/Last 20.10 17.84 19.82 19.84 15.89 13.68 15.46 12.00 12.61 12.41 12.90

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