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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) as of Oct 20, 2019
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   26 16 22 25 25 26 18 22 15 15 21
Exceeded High   15 9 18 22 19 24 15 18 11 9 10
Scenario Percentage   58% 56% 82% 88% 76% 92% 83% 82% 73% 60% 48%
Avg Max Increase   6.97% 8.58% 7.73% 6.97% 6.34% 7.16% 10.12% 10.62% 13.52% 11.25% 4.52%
Max Increase   14.84% 26.38% 20.32% 16.18% 17.33% 29.59% 25.29% 56.06% 34.25% 18.52% 10.02%
Avg Days To Max Increase   21 15 17 21 13 14 15 14 12 11 7
Avg Max Decline   -1.81% -2.90% -1.56% -1.21% -2.99% -2.46% -3.45% -2.70% -0.43% -1.04% -0.89%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.47% -3.01% -2.19%
Avg Days to Max Decline   8 10 7 9 9 12 13 8 3 3 2
2019 Contract Condition   Yes Yes   Yes       Yes      
Action   No 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   18 29 22 20 20 19 27 23 30 30 24
Penetrated Low   16 21 17 20 15 19 25 22 26 25 9
Scenario Percentage   89% 72% 77% 100% 75% 100% 93% 96% 87% 83% 38%
Avg Max Decline   5.80% 6.26% 5.13% 5.77% 4.66% 6.07% 8.66% 11.24% 13.28% 8.03% 4.45%
Max Decline   25.43% 22.45% 20.47% 17.92% 7.94% 11.23% 18.83% 27.77% 19.93% 17.40% 9.04%
Avg Days To Max Decline   15 12 17 17 13 16 21 21 15 11 7
Avg Max Increase   -1.61% -1.59% -1.51% -2.02% -2.77% -2.44% -3.58% -4.74% -2.81% -2.15% -0.57%
Max Increase   -6.50% -6.05% -3.85% -6.44% -9.03% -5.43% -19.29% -27.18% -18.45% -8.17% -2.10%
Avg Days to Max Increase   7 7 6 13 13 7 13 10 6 5 2
2019 Contract Condition       Yes   Yes Yes Yes   Yes Yes Yes
Action       Yes   Yes Yes Yes   Yes Yes Yes
High 394.25 403.25 403.25 401.75 401.25 399.50 396.00 383.75 447.25 468.75 460.00 417.00
Low 375.75 385.75 385.50 390.00 391.50 384.50 374.50 360.00 352.50 416.50 400.00 355.25
Close/Last 385.00 391.50 394.00 393.50 395.50 385.25 375.00 370.50 436.00 424.75 400.25 358.00

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