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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 18 25 22 25 27 17 21 16 17 22
Exceeded High   16 11 19 20 19 25 14 17 11 11 11
Scenario Percentage   64% 61% 76% 91% 76% 93% 82% 81% 69% 65% 50%
Avg Max Increase   6.76% 9.33% 8.60% 7.90% 6.71% 8.43% 12.66% 12.78% 15.91% 11.97% 4.70%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 34.25% 20.75% 11.13%
Avg Days To Max Increase   20 15 17 22 13 14 14 15 14 11 7
Avg Max Decline   -1.83% -2.48% -1.53% -1.33% -2.88% -2.18% -3.19% -2.72% -0.43% -1.55% -0.78%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.47% -6.60% -2.19%
Avg Days to Max Decline   8 9 6 9 8 12 13 9 3 3 2
2015 Contract Condition   Yes   Yes   Yes       Yes    
Action   Yes   No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 27 19 23 20 18 28 24 29 28 23
Penetrated Low   14 18 14 23 15 18 25 22 23 23 14
Scenario Percentage   74% 67% 74% 100% 75% 100% 89% 92% 79% 82% 61%
Avg Max Decline   5.91% 6.78% 5.79% 5.51% 4.64% 6.78% 9.07% 10.71% 13.27% 7.81% 5.19%
Max Decline   25.43% 22.45% 20.47% 17.92% 9.56% 12.01% 18.83% 27.77% 19.93% 17.40% 10.31%
Avg Days To Max Decline   14 13 18 16 13 16 21 22 14 10 8
Avg Max Increase   -1.72% -1.65% -1.62% -1.90% -2.51% -2.76% -3.25% -4.72% -2.69% -2.31% -1.22%
Max Increase   -6.50% -6.05% -3.85% -6.44% -9.03% -5.91% -19.29% -27.18% -18.45% -8.17% -3.60%
Avg Days to Max Increase   8 7 6 11 9 10 12 10 5 5 2
2015 Contract Condition     Yes   Yes   Yes Yes Yes   Yes Yes
Action     Yes   Yes   Yes Yes Yes   Yes Not Yet
High 401.25 413.00 423.25 433.75 426.50 413.50 413.25 405.00 378.25 422.00 443.25 391.50
Low 356.00 354.75 394.00 397.75 388.50 390.75 382.75 370.00 354.50 352.00 365.75 346.50
Close/Last 356.75 410.25 409.00 415.25 393.00 408.25 392.00 372.75 357.25 422.00 371.00 363.75

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