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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of Dec 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 34 34 36 36 36 36 36 36 36 36
Closed Higher   11 16 15 21 19 17 17 13 13 16 18
Exceeded High   8 12 10 19 12 8 10 11 9 13 12
Scenario Percentage   73% 75% 67% 90% 63% 47% 59% 85% 69% 81% 67%
Avg Max Increase   12.41% 8.37% 10.39% 10.64% 10.63% 7.06% 11.65% 12.17% 11.04% 9.34% 9.19%
Max Increase   24.52% 18.48% 21.88% 36.29% 20.50% 14.90% 39.34% 33.21% 27.04% 23.85% 19.33%
Avg Days To Max Increase   13 17 19 16 18 10 11 16 15 12 8
Avg Max Decline   0.15% -4.30% -4.01% -2.25% -0.49% -2.05% -1.09% -2.59% -3.41% -2.65% -1.31%
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   5 9 11 7 6 4 6 7 19 6 2
2010 Contract Condition       Yes Yes Yes   Yes        
Action       Yes Yes Yes   No        
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 34 34 36 36 36 36 36 36 36 36
Closed Lower   18 18 19 15 16 18 19 22 23 19 18
Penetrated Low   16 12 10 12 13 14 12 20 17 12 7
Scenario Percentage   89% 67% 53% 80% 81% 78% 63% 91% 74% 63% 39%
Avg Max Decline   9.04% 8.53% 9.59% 9.65% 8.58% 8.88% 9.57% 10.04% 10.32% 11.46% 5.92%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 9.25%
Avg Days To Max Decline   15 18 20 24 16 18 22 18 19 19 8
Avg Max Increase   -1.69% -2.71% -3.79% -3.91% -3.37% -2.60% -4.13% -2.40% -2.80% -3.54% -0.89%
Max Increase   -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -2.20%
Avg Days to Max Increase   4 9 7 13 10 15 13 7 7 8 4
2010 Contract Condition   Yes Yes       Yes   Yes Yes Yes Yes
Action   Yes No       Yes   Yes Yes Yes Not Yet
High 295.50 304.25 266.75 251.50 259.50 284.75 290.75 289.00 288.00 247.00 233.75 220.00
Low 245.00 245.75 224.00 228.50 225.50 242.50 270.00 259.00 227.00 225.00 205.75 193.50
Close/Last 292.75 256.50 232.00 246.50 255.50 276.00 275.75 285.00 237.25 230.50 208.00 205.25

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