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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, 2009
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   9 15 19 19 21 21 21 22 22 22 22
Closed Higher   5 7 5 9 9 12 11 12 8 11 12
Exceeded High   3 6 3 8 6 9 9 6 7 8 8
Scenario Percentage   60% 86% 60% 89% 67% 75% 82% 50% 88% 73% 67%
Avg Max Increase   17.17% 18.33% 33.81% 8.95% 9.17% 12.12% 12.15% 9.82% 19.47% 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 21 11 11 19 16 20 21 13 10
Avg Max Decline   -2.00% -2.10% -1.45% -0.67% -1.26% -2.57% -1.16% -1.48% -1.13% -1.82% -2.03%
Max Decline   -2.60% -7.28% -3.73% -2.79% -4.09% -10.06% -5.26% -4.19% -4.21% -4.02% -5.31%
Avg Days to Max Decline   16 10 10 9 2 7 5 10 4 7 2
2008 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action   No   Yes Yes Yes Yes Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   9 15 19 19 21 21 21 22 22 22 22
Closed Lower   4 8 14 10 12 9 10 10 14 11 9
Penetrated Low   2 6 9 10 9 9 7 9 11 8 5
Scenario Percentage   50% 75% 64% 100% 75% 100% 70% 90% 79% 73% 56%
Avg Max Decline   5.86% 9.25% 8.19% 7.39% 6.24% 6.40% 12.89% 11.58% 8.47% 9.65% 6.73%
Max Decline   6.64% 20.21% 15.80% 16.09% 10.48% 11.70% 22.81% 19.07% 19.01% 35.58% 15.43%
Avg Days To Max Decline   19 20 22 17 15 20 23 20 22 9 7
Avg Max Increase   -3.69% -2.58% -2.55% -0.99% -1.07% -1.36% -1.96% -1.96% -3.69% -2.73% -1.50%
Max Increase   -10.16% -6.04% -6.62% -2.95% -6.09% -6.32% -4.83% -6.17% -8.21% -8.15% -2.14%
Avg Days to Max Increase   14 13 10 4 6 9 8 12 8 7 2
2008 Contract Condition     Yes                  
Action     No                  
High 12.00 12.18 11.77 11.88 12.40 12.65 13.87 14.22 15.15 18.09 20.18 24.69
Low 11.55 11.58 11.35 11.43 11.90 12.20 12.57 13.44 14.25 15.22 17.27 19.05
Close/Last 11.69 11.81 11.60 11.88 12.40 12.65 13.50 14.15 15.15 18.05 19.69 21.48

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