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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 01, 2019
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   23 26 30 30 31 32 32 32 32 32 32
Closed Higher   13 11 12 16 12 16 13 18 13 16 9
Exceeded High   8 9 7 13 10 13 8 12 10 9 5
Scenario Percentage   62% 82% 58% 81% 83% 81% 62% 67% 77% 56% 56%
Avg Max Increase   4.43% 6.81% 8.38% 13.00% 16.34% 13.68% 8.58% 9.92% 12.84% 7.47% 7.84%
Max Increase   10.44% 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 23 15 18 18 10 9 17 15 11 10
Avg Max Decline   -2.36% -3.21% -1.20% -2.81% -2.48% -1.11% -1.86% -2.41% -2.14% -1.23% -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 16 8 13 8 7 4 7 4 6 4
2018 Contract Condition     Yes Yes Yes Yes     Yes   Yes  
Action     Yes Yes Yes Yes     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   23 26 30 30 31 32 32 32 32 32 32
Closed Lower   10 14 17 14 19 16 18 14 19 16 23
Penetrated Low   7 10 13 12 12 14 13 13 16 15 11
Scenario Percentage   70% 71% 76% 86% 63% 88% 72% 93% 84% 94% 48%
Avg Max Decline   10.01% 9.39% 8.10% 8.45% 8.55% 9.63% 7.05% 7.51% 9.99% 8.91% 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 19 21 20 17 14 22 18 13 10
Avg Max Increase   -0.41% -1.96% -2.06% -3.44% -2.26% -1.83% -2.27% -3.03% -2.74% -2.44% -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 10 9 5 5 9 8 8 3
2018 Contract Condition   Yes         Yes Yes   Yes   Yes
Action   No         Yes Yes   Yes   Not Yet
High 10.87 11.20 11.89 12.52 12.98 13.22 13.35 12.80 12.86 12.83 12.51 12.57
Low 10.42 10.28 10.48 11.79 12.10 12.63 12.23 11.81 11.61 11.80 11.53 11.84
Close/Last 10.85 10.28 11.85 12.35 12.82 13.20 12.45 11.87 12.83 11.90 12.44 12.39

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