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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Oats(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 38 38 39 39 39 39 39 40 40 40
Closed Higher   13 16 19 23 16 14 18 19 22 18 18
Exceeded High   10 12 17 14 13 11 13 12 18 12 8
Scenario Percentage   77% 75% 89% 61% 81% 79% 72% 63% 82% 67% 44%
Avg Max Increase   10.36% 9.28% 9.70% 19.41% 21.13% 14.75% 13.04% 12.39% 15.09% 13.20% 4.23%
Max Increase   32.94% 30.42% 24.73% 124.03% 100.39% 22.60% 29.75% 40.25% 35.52% 26.13% 15.95%
Avg Days To Max Increase   15 18 16 15 16 15 17 17 14 11 5
Avg Max Decline   -1.68% -3.30% -1.66% -1.75% -2.91% -1.79% -5.67% -2.69% -2.99% -2.54% -2.31%
Max Decline   -6.32% -12.05% -7.08% -6.64% -9.23% -5.03% -9.14% -10.22% -7.59% -9.51% -6.62%
Avg Days to Max Decline   9 9 10 9 4 4 8 10 6 10 2
2013 Contract Condition   Yes     Yes       Yes   Yes Yes
Action   Yes     Yes       No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 38 38 39 39 39 39 39 40 40 40
Closed Lower   21 20 18 16 22 25 21 19 18 21 21
Penetrated Low   17 14 11 14 20 20 16 12 16 13 7
Scenario Percentage   81% 70% 61% 88% 91% 80% 76% 63% 89% 62% 33%
Avg Max Decline   7.73% 8.25% 9.62% 9.06% 12.33% 12.30% 10.11% 10.30% 9.88% 9.97% 3.60%
Max Decline   18.88% 13.76% 16.12% 17.38% 27.19% 27.27% 22.12% 39.54% 39.56% 20.30% 8.44%
Avg Days To Max Decline   12 17 18 19 22 20 21 19 22 14 4
Avg Max Increase   -1.77% -0.86% -2.84% -4.17% -4.46% -2.84% -4.24% -4.07% -5.39% -3.00% -1.36%
Max Increase   -8.55% -2.91% -7.06% -11.41% -19.33% -10.65% -10.28% -9.52% -13.68% -7.99% -8.31%
Avg Days to Max Increase   9 9 15 12 12 4 13 8 12 6 2
2013 Contract Condition     Yes Yes   Yes Yes Yes   Yes    
Action     Yes Yes   Yes Yes Yes   No    
High 384.25 373.00 374.00 370.00 368.00 368.00 392.00 361.00 356.00 344.75 348.25 390.00
Low 347.75 338.25 357.25 350.50 339.25 346.00 358.00 320.00 321.00 303.00 310.25 318.00
Close/Last 348.75 369.00 366.25 361.00 368.00 363.50 360.50 331.50 340.50 319.25 330.25 365.25

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