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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Corn(CBOT) as of Apr 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 18 22 19 24 22 26 24 16 21 17
Exceeded High   12 16 15 11 18 20 19 22 13 15 13
Scenario Percentage   57% 89% 68% 58% 75% 91% 73% 92% 81% 71% 76%
Avg Max Increase   8.50% 10.23% 7.81% 10.45% 8.53% 8.25% 7.27% 6.97% 13.50% 12.57% 7.21%
Max Increase   30.68% 38.35% 16.30% 28.80% 28.71% 16.78% 26.54% 30.33% 51.63% 60.09% 16.99%
Avg Days To Max Increase   15 14 22 15 17 19 12 13 16 11 8
Avg Max Decline   -2.43% -2.82% -2.35% -2.90% -2.21% -1.64% -3.51% -2.18% -3.83% -3.35% -0.41%
Max Decline   -9.08% -8.83% -11.93% -8.20% -8.20% -4.31% -16.09% -10.79% -12.89% -10.06% -4.16%
Avg Days to Max Decline   13 7 10 12 9 10 9 9 12 6 2
2017 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes No   Yes Yes No        
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 27 23 26 21 22 19 21 29 24 28
Penetrated Low   15 22 20 19 15 21 13 17 26 20 17
Scenario Percentage   65% 81% 87% 73% 71% 95% 68% 81% 90% 83% 61%
Avg Max Decline   7.54% 7.29% 7.06% 6.83% 5.69% 5.80% 5.00% 7.62% 9.20% 8.66% 5.98%
Max Decline   35.76% 29.27% 26.37% 22.48% 22.89% 18.80% 10.92% 13.95% 20.53% 22.44% 16.21%
Avg Days To Max Decline   15 21 15 12 16 17 11 17 20 13 8
Avg Max Increase   -1.57% -2.37% -1.42% -1.75% -2.15% -2.30% -2.30% -2.26% -3.47% -2.70% -1.15%
Max Increase   -4.02% -10.86% -6.15% -6.87% -5.95% -6.56% -4.86% -5.12% -16.67% -9.22% -8.50%
Avg Days to Max Increase   5 12 8 8 10 13 10 12 12 5 3
2017 Contract Condition   Yes     Yes       Yes Yes    
Action   No     Yes       Yes Not Yet    
High 395.75 367.50 367.00 381.75 379.50 378.25 384.50 393.75 389.50 379.50 379.00  
Low 354.50 340.25 340.75 358.50 358.25 357.25 364.25 372.00 361.75 360.75 369.50  
Close/Last 362.75 341.25 360.25 376.25 363.50 364.25 373.75 381.00 371.75 366.50 377.50  

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