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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Rough Rice(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   19 23 26 27 27 27 27 28 28 28 28
Closed Higher   8 14 13 12 10 15 11 13 11 14 13
Exceeded High   7 12 9 10 6 12 8 11 7 13 9
Scenario Percentage   88% 86% 69% 83% 60% 80% 73% 85% 64% 93% 69%
Avg Max Increase   12.48% 9.72% 5.44% 6.67% 7.81% 14.32% 19.52% 15.92% 9.67% 8.88% 7.84%
Max Increase   29.36% 23.78% 17.68% 11.53% 19.56% 71.94% 87.52% 76.44% 21.38% 28.51% 20.65%
Avg Days To Max Increase   23 20 15 20 9 18 21 11 10 12 14
Avg Max Decline   -1.99% -0.56% -2.50% -3.32% -1.28% -3.33% -2.94% -1.78% -1.98% -2.79% -1.10%
Max Decline   -4.51% -3.08% -6.23% -11.37% -3.49% -7.47% -7.17% -5.41% -6.55% -9.88% -4.72%
Avg Days to Max Decline   12 10 5 15 7 12 9 8 4 7 3
2014 Contract Condition     Yes   Yes Yes Yes       Yes  
Action     Yes   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   19 23 26 27 27 27 27 28 28 28 28
Closed Lower   11 9 13 15 17 12 16 15 17 14 15
Penetrated Low   10 8 9 13 12 10 10 13 12 12 6
Scenario Percentage   91% 89% 69% 87% 71% 83% 63% 87% 71% 86% 40%
Avg Max Decline   7.14% 9.56% 8.70% 8.21% 8.44% 9.41% 9.25% 10.03% 7.72% 5.86% 3.90%
Max Decline   22.37% 27.09% 19.79% 20.73% 22.74% 23.43% 15.87% 31.81% 16.43% 11.85% 5.97%
Avg Days To Max Decline   21 16 14 17 17 22 19 16 16 18 9
Avg Max Increase   -1.94% -2.36% -0.59% -2.13% -2.50% -4.28% -2.42% -1.86% -3.38% -1.53% -1.61%
Max Increase   -5.43% -6.12% -3.40% -6.89% -13.40% -13.47% -5.25% -8.00% -9.69% -5.96% -3.19%
Avg Days to Max Increase   11 8 14 7 9 10 7 5 9 7 3
2014 Contract Condition   Yes   Yes       Yes Yes Yes   Yes
Action   Yes   No       Yes Yes No   Not Yet
High 15.71 15.72 15.61 15.79 15.98 16.84 16.40 16.28 16.00 15.71 15.99 16.01
Low 15.30 15.37 14.86 15.20 15.32 15.85 15.28 15.40 15.31 14.92 15.05 15.25
Close/Last 15.69 15.57 15.61 15.37 15.81 16.00 16.26 15.92 15.34 15.11 15.96 15.51

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