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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(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   35 40 40 42 42 42 42 42 42 42 42
Closed Higher   14 19 19 22 24 18 19 16 16 19 21
Exceeded High   10 14 12 20 15 9 12 14 12 15 12
Scenario Percentage   71% 74% 63% 91% 63% 50% 63% 88% 75% 79% 57%
Avg Max Increase   12.97% 9.27% 9.46% 10.80% 9.48% 8.75% 14.84% 13.81% 11.19% 9.70% 8.54%
Max Increase   24.52% 21.14% 21.88% 36.29% 20.50% 22.42% 53.11% 39.65% 27.04% 23.85% 17.78%
Avg Days To Max Increase   13 18 19 15 16 12 12 15 16 14 6
Avg Max Decline   0.04% -4.27% -3.29% -2.27% -1.17% -1.93% -1.64% -2.34% -3.95% -3.16% -1.09%
Max Decline   -2.19% -7.41% -8.52% -10.00% -8.42% -6.85% -5.90% -8.72% -10.28% -10.41% -6.88%
Avg Days to Max Decline   4 10 14 6 6 4 6 8 18 6 1
2017 Contract Condition           Yes   Yes Yes Yes    
Action           Yes   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   35 40 40 42 42 42 42 42 42 42 42
Closed Lower   21 21 21 20 17 23 23 25 26 22 21
Penetrated Low   18 14 11 17 14 18 16 22 20 13 7
Scenario Percentage   86% 67% 52% 85% 82% 78% 70% 88% 77% 59% 33%
Avg Max Decline   8.82% 9.07% 9.29% 8.60% 8.30% 9.76% 10.05% 10.21% 11.01% 11.81% 5.26%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 8.47%
Avg Days To Max Decline   16 19 18 21 17 17 21 17 18 19 6
Avg Max Increase   -1.69% -2.68% -3.61% -4.18% -3.53% -2.93% -3.25% -2.37% -2.77% -3.57% -0.74%
Max Increase   -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -2.20%
Avg Days to Max Increase   4 11 8 14 11 15 11 6 7 8 2
2017 Contract Condition   Yes Yes Yes Yes   Yes          
Action   Yes Yes Yes No   No          
High 233.25 238.00 216.75 210.00 201.75 225.00 243.25 235.25 254.50 260.50    
Low 221.50 213.75 202.00 191.75 188.75 190.50 215.25 216.50 224.75 241.25    
Close/Last 222.50 217.75 205.25 197.25 191.25 217.00 216.75 228.50 238.75 244.25    

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