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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, 2013
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   13 19 23 23 25 25 25 26 26 26 26
Closed Higher   6 10 9 11 12 13 13 13 10 12 16
Exceeded High   3 9 7 9 8 10 10 7 9 9 9
Scenario Percentage   50% 90% 78% 82% 67% 77% 77% 54% 90% 75% 56%
Avg Max Increase   17.17% 15.40% 20.38% 10.19% 8.64% 11.30% 12.34% 9.16% 16.92% 16.32% 5.85%
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 18 22 11 11 19 15 18 20 14 9
Avg Max Decline   -2.00% -2.24% -2.15% -1.15% -1.67% -2.31% -1.60% -1.54% -2.62% -1.78% -1.81%
Max Decline   -2.60% -7.28% -6.09% -4.97% -5.80% -10.06% -5.59% -4.19% -11.22% -4.02% -5.31%
Avg Days to Max Decline   16 10 9 8 2 7 5 9 6 6 2
2012 Contract Condition     Yes Yes   Yes       Yes Yes Yes
Action     Yes Yes   No       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   13 19 23 23 25 25 25 26 26 26 26
Closed Lower   7 9 14 12 13 12 12 13 16 14 9
Penetrated Low   2 7 9 11 10 11 9 12 13 9 5
Scenario Percentage   29% 78% 64% 92% 77% 92% 75% 92% 81% 64% 56%
Avg Max Decline   5.86% 8.56% 8.19% 7.88% 7.24% 7.27% 12.22% 10.90% 9.13% 9.30% 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 18 13 20 20 19 21 9 7
Avg Max Increase   -3.69% -2.21% -2.55% -1.52% -1.37% -2.52% -1.95% -2.70% -3.35% -3.54% -1.50%
Max Increase   -10.16% -6.04% -6.62% -6.77% -6.09% -14.65% -4.83% -11.33% -8.21% -9.99% -2.14%
Avg Days to Max Increase   14 11 10 6 5 10 7 10 7 8 2
2012 Contract Condition   Yes     Yes   Yes Yes Yes      
Action   No     Yes   Yes Yes Yes      
High 17.22 17.21 18.33 18.81 19.22 17.98 17.40 15.53 15.44 14.75 15.27 15.76
Low 15.92 15.52 15.96 17.15 16.69 16.41 14.69 14.12 14.26 13.78 13.79 14.55
Close/Last 17.21 15.96 17.34 18.79 16.84 17.47 15.41 15.13 14.28 14.46 14.77 14.87

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