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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Rough Rice(CBOT) as of Jan 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 24 28 28 29 30 30 30 30 30 30
Closed Higher   12 9 11 15 11 15 12 17 13 15 9
Exceeded High   7 8 6 12 9 12 8 12 10 8 5
Scenario Percentage   58% 89% 55% 80% 82% 80% 67% 71% 77% 53% 56%
Avg Max Increase   3.58% 6.47% 8.60% 13.74% 18.03% 14.37% 8.58% 9.92% 12.84% 8.27% 7.84%
Max Increase   8.60% 11.03% 18.05% 70.33% 85.48% 73.40% 19.52% 32.41% 24.77% 31.92% 13.50%
Avg Days To Max Increase   17 22 12 19 19 10 9 17 15 12 10
Avg Max Decline   -2.93% -3.54% -1.06% -2.91% -2.61% -1.29% -1.86% -2.41% -2.14% -1.28% -0.33%
Max Decline   -6.35% -11.48% -3.65% -8.48% -6.86% -5.30% -6.17% -10.08% -6.22% -4.51% -1.77%
Avg Days to Max Decline   7 18 7 13 8 7 4 7 4 7 4
2017 Contract Condition   Yes Yes       Yes Yes        
Action   Yes No       Yes No        
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 24 28 28 29 30 30 30 30 30 30
Closed Lower   9 14 16 13 18 15 17 13 17 15 21
Penetrated Low   7 10 12 11 12 13 12 12 14 14 11
Scenario Percentage   78% 71% 75% 85% 67% 87% 71% 92% 82% 93% 52%
Avg Max Decline   10.01% 9.39% 7.71% 8.58% 8.55% 9.85% 7.46% 7.68% 10.93% 9.41% 6.05%
Max Decline   19.64% 20.02% 21.54% 22.30% 16.23% 31.89% 16.45% 14.32% 24.11% 19.90% 10.18%
Avg Days To Max Decline   16 14 18 20 20 17 14 22 19 12 10
Avg Max Increase   -0.41% -1.96% -2.04% -3.39% -2.26% -1.76% -2.43% -3.03% -2.75% -2.53% -0.90%
Max Increase   -3.24% -6.75% -11.61% -12.23% -6.70% -7.34% -8.11% -16.02% -10.15% -12.83% -3.89%
Avg Days to Max Increase   11 9 7 9 9 5 6 10 8 9 3
2017 Contract Condition       Yes Yes Yes     Yes Yes Yes  
Action       Yes Yes No     Yes Not Yet Not Yet  
High 11.41 11.75 12.85 12.66 11.63 11.07 10.38 10.93 10.40 10.26 10.10  
Low 10.71 10.73 11.63 11.31 10.50 9.90 9.92 10.32 9.56 9.40 9.46  
Close/Last 10.71 11.64 11.83 11.37 10.65 9.92 10.36 10.40 9.96 9.61 9.54  

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