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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Dec 31, 2017
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   22 22 17 17 22 18 21 17 20 25 25
Exceeded High   19 18 14 13 12 16 13 11 17 20 17
Scenario Percentage   86% 82% 82% 76% 55% 89% 62% 65% 85% 80% 68%
Avg Max Increase   13.70% 13.11% 16.84% 13.30% 8.94% 11.44% 8.71% 9.27% 9.12% 6.62% 2.72%
Max Increase   56.84% 45.67% 70.21% 29.19% 32.23% 42.96% 17.55% 29.33% 27.63% 16.19% 8.20%
Avg Days To Max Increase   15 13 12 17 15 16 24 15 17 9 6
Avg Max Decline   -3.39% -2.35% -0.55% -2.71% -3.05% -3.11% -2.52% -2.92% -2.18% -1.65% -1.32%
Max Decline   -7.89% -5.76% -5.30% -11.73% -11.20% -9.57% -12.56% -9.73% -5.89% -8.05% -5.01%
Avg Days to Max Decline   12 6 3 6 14 9 10 8 10 5 3
2018 Contract Condition     Yes Yes                
Action     Yes 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   22 23 28 28 23 27 24 27 25 20 20
Penetrated Low   21 21 24 23 15 23 20 22 19 14 7
Scenario Percentage   95% 91% 86% 82% 65% 85% 83% 81% 76% 70% 35%
Avg Max Decline   7.61% 9.09% 10.57% 7.49% 7.78% 7.78% 8.59% 7.01% 5.92% 6.12% 2.66%
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 19 15 21 16 13 14 11 5
Avg Max Increase   -3.14% -3.78% -2.19% -2.97% -1.29% -2.16% -1.81% -1.92% -1.67% -1.75% -1.31%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -7.27% -5.15% -6.87% -3.39%
Avg Days to Max Increase   11 10 6 10 5 9 9 10 8 6 3
2018 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes    
Action   Yes     Yes Yes Yes Yes Yes      
High 409.50 404.50 405.00 416.75 426.00 400.50 374.50 369.25 365.25 360.50    
Low 387.75 389.00 392.00 384.00 390.75 357.25 358.00 356.25 348.75 346.50    
Close/Last 397.25 394.75 401.00 401.25 396.25 370.50 367.75 359.50 355.75 347.50    

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