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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 23 19 17 23 16 22 19 20 22 23
Exceeded High   19 19 15 13 14 14 14 11 17 17 16
Scenario Percentage   90% 83% 79% 76% 61% 88% 64% 58% 85% 77% 70%
Avg Max Increase   13.77% 12.70% 16.79% 13.30% 8.21% 12.41% 8.30% 9.27% 8.73% 6.60% 2.38%
Max Increase   56.84% 45.67% 70.21% 29.19% 32.23% 42.96% 17.55% 29.33% 27.63% 16.19% 5.81%
Avg Days To Max Increase   17 13 12 17 15 16 23 15 17 9 6
Avg Max Decline   -2.90% -2.41% -0.83% -2.71% -2.94% -3.44% -2.20% -2.92% -2.17% -1.83% -1.40%
Max Decline   -7.89% -5.76% -6.16% -11.73% -11.20% -9.57% -12.56% -9.73% -5.89% -8.05% -5.01%
Avg Days to Max Decline   11 7 5 6 13 9 10 8 10 6 3
2013 Contract Condition   Yes   Yes Yes Yes         Yes  
Action   Yes   Yes Yes No         Yes  
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 22 26 28 22 29 23 25 25 23 22
Penetrated Low   22 19 22 22 16 22 19 19 18 17 7
Scenario Percentage   96% 86% 85% 79% 73% 76% 83% 76% 72% 74% 32%
Avg Max Decline   7.38% 8.96% 10.07% 7.21% 7.01% 7.93% 8.45% 7.23% 6.09% 5.59% 2.73%
Max Decline   15.47% 22.39% 16.96% 19.56% 37.09% 30.45% 27.13% 21.39% 24.80% 20.24% 4.47%
Avg Days To Max Decline   21 21 17 18 18 22 17 14 16 10 5
Avg Max Increase   -3.07% -3.90% -2.16% -2.46% -1.35% -2.34% -2.01% -1.50% -1.67% -1.56% -1.22%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -3.22% -5.15% -6.87% -3.39%
Avg Days to Max Increase   10 11 5 7 5 10 9 10 9 6 3
2013 Contract Condition     Yes       Yes Yes Yes Yes   Yes
Action     No       No Yes Yes Yes   Not Yet
High 585.00 567.00 558.75 665.50 813.25 845.00 816.75 775.75 767.50 764.00 744.50 746.25
Low 534.75 533.00 511.00 518.50 652.75 779.25 708.75 732.25 714.25 687.50 678.00 687.25
Close/Last 551.75 554.75 532.75 643.75 801.25 802.00 759.50 757.00 752.75 698.25 740.50 719.50

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