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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Corn(CBOT) as of Feb 28, 2017
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   16 17 22 18 21 15 22 23 24 24 19
Exceeded High   13 13 12 15 15 11 18 20 17 23 14
Scenario Percentage   81% 76% 55% 83% 71% 73% 82% 87% 71% 96% 74%
Avg Max Increase   14.35% 12.84% 8.75% 11.27% 8.02% 10.05% 9.06% 8.05% 7.73% 5.91% 5.68%
Max Increase   64.95% 28.32% 31.72% 41.11% 17.13% 28.57% 28.07% 16.47% 30.76% 24.82% 19.70%
Avg Days To Max Increase   11 17 15 15 23 16 18 21 11 7 7
Avg Max Decline   -0.67% -2.51% -2.63% -3.21% -2.24% -2.85% -2.56% -1.81% -3.62% -1.60% -1.18%
Max Decline   -4.17% -10.75% -10.29% -9.93% -12.15% -8.72% -9.03% -5.24% -16.83% -10.93% -4.71%
Avg Days to Max Decline   4 6 13 10 11 8 11 13 9 7 2
2017 Contract Condition         Yes Yes   Yes Yes Yes    
Action         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   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 28 23 27 23 29 22 22 21 21 26
Penetrated Low   24 23 15 22 18 22 16 20 13 17 16
Scenario Percentage   89% 82% 65% 81% 78% 76% 73% 91% 62% 81% 62%
Avg Max Decline   10.09% 7.32% 7.78% 7.06% 8.04% 6.75% 5.84% 6.05% 5.75% 6.00% 3.61%
Max Decline   18.43% 19.10% 36.47% 29.80% 26.70% 22.00% 24.08% 19.54% 13.19% 11.33% 10.93%
Avg Days To Max Decline   17 19 15 22 15 13 15 17 13 7 7
Avg Max Increase   -2.00% -2.74% -1.23% -2.10% -1.62% -1.93% -1.87% -2.31% -2.28% -1.35% -1.07%
Max Increase   -13.32% -9.45% -3.88% -4.86% -5.93% -7.12% -4.64% -6.59% -4.87% -5.66% -4.31%
Avg Days to Max Increase   5 9 3 11 10 9 8 9 8 7 2
2017 Contract Condition   Yes Yes Yes     Yes          
Action   Yes Yes No     Yes          
High 425.25 455.00 391.75 360.75 360.75 375.75 372.75 371.25 377.75 387.25    
Low 390.25 378.75 349.00 332.50 333.00 351.75 351.00 349.25 357.50 365.25    
Close/Last 418.75 384.50 357.25 333.50 353.50 369.50 355.75 357.50 367.00 373.75    

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