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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Oats(CBOT) as of Jan 21, 2022
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   35 42 43 45 45 45 45 45 45 45 45
Closed Higher   20 19 19 17 18 18 26 21 19 17 21
Exceeded High   13 13 13 13 14 15 17 15 13 13 10
Scenario Percentage   65% 68% 68% 76% 78% 83% 65% 71% 68% 76% 48%
Avg Max Increase   7.00% 5.66% 11.61% 8.70% 9.75% 10.41% 19.81% 18.08% 15.38% 11.84% 8.01%
Max Increase   13.57% 11.80% 37.56% 33.14% 30.95% 24.88% 134.52% 111.54% 36.38% 20.48% 13.98%
Avg Days To Max Increase   17 13 16 15 18 14 14 16 12 13 9
Avg Max Decline   -1.99% -0.84% -1.48% -2.07% -3.53% -1.34% -1.48% -4.62% -2.38% -5.29% -0.98%
Max Decline   -9.91% -5.49% -4.63% -7.37% -14.25% -7.07% -6.68% -12.38% -10.46% -11.39% -2.96%
Avg Days to Max Decline   11 7 5 13 8 11 7 7 5 7 2
2021 Contract Condition       Yes   Yes Yes Yes   Yes Yes Yes
Action       Yes   Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   35 42 43 45 45 45 45 45 45 45 45
Closed Lower   15 23 23 28 25 27 19 24 26 28 24
Penetrated Low   11 19 18 21 19 18 15 20 22 18 3
Scenario Percentage   73% 83% 78% 75% 76% 67% 79% 83% 85% 64% 13%
Avg Max Decline   5.60% 7.32% 6.45% 8.01% 9.18% 9.14% 9.73% 12.45% 12.68% 11.26% 4.46%
Max Decline   19.89% 15.06% 17.52% 16.03% 15.31% 18.40% 19.38% 28.78% 30.34% 23.13% 8.18%
Avg Days To Max Decline   13 18 20 18 20 16 20 21 19 18 7
Avg Max Increase   -3.35% -2.17% -2.42% -1.96% -1.72% -2.69% -4.76% -5.76% -3.31% -3.66% 0.06%
Max Increase   -12.59% -6.13% -8.50% -8.70% -6.27% -7.55% -11.88% -20.37% -11.37% -13.13% 0.00%
Avg Days to Max Increase   10 11 9 6 12 9 13 11 6 8 1
2021 Contract Condition   Yes Yes   Yes       Yes      
Action   No No   No       No      
High 289.75 290.00 296.00 318.75 320.75 347.25 367.50 386.00 403.25 402.75 470.50 533.25
Low 269.75 280.50 284.00 284.00 304.00 309.25 330.75 346.75 350.00 355.75 362.00 441.00
Close/Last 285.75 285.50 284.00 318.75 314.50 334.25 355.00 382.75 380.25 391.00 446.75 496.25

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