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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Rough Rice(CBOT) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   17 23 24 27 28 28 28 28 28 28 28
Closed Higher   9 13 10 16 12 11 9 13 15 12 10
Exceeded High   7 8 7 9 9 7 9 10 9 10 7
Scenario Percentage   78% 62% 70% 56% 75% 64% 100% 77% 60% 83% 70%
Avg Max Increase   8.77% 6.75% 7.01% 8.41% 10.94% 9.34% 15.06% 14.81% 10.53% 8.38% 4.80%
Max Increase   26.96% 17.78% 13.31% 17.80% 24.41% 33.38% 40.53% 30.64% 24.53% 22.37% 9.55%
Avg Days To Max Increase   20 11 11 16 16 17 21 20 10 12 14
Avg Max Decline   -2.02% -0.68% -1.55% -0.65% -2.58% -1.43% -2.62% -2.62% -2.68% -1.95% -0.92%
Max Decline   -6.01% -5.05% -5.11% -1.57% -11.53% -2.98% -10.82% -7.78% -6.82% -13.01% -3.96%
Avg Days to Max Decline   9 6 6 5 10 9 6 10 4 7 1
2017 Contract Condition     Yes Yes         Yes   Yes Yes
Action     Yes No         Yes   Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   17 23 24 27 28 28 28 28 28 28 28
Closed Lower   8 10 14 11 16 17 19 15 13 16 18
Penetrated Low   5 9 11 10 14 16 16 9 11 12 7
Scenario Percentage   63% 90% 79% 91% 88% 94% 84% 60% 85% 75% 39%
Avg Max Decline   7.12% 6.73% 6.36% 6.85% 9.94% 9.46% 9.16% 10.49% 8.50% 8.50% 4.99%
Max Decline   12.38% 12.73% 15.20% 14.46% 22.56% 18.76% 19.56% 30.58% 21.10% 20.07% 10.04%
Avg Days To Max Decline   19 15 14 20 17 15 21 15 11 11 11
Avg Max Increase   -0.82% -1.19% -2.13% -2.75% -1.57% -1.78% -3.12% -3.47% -4.85% -2.83% -2.92%
Max Increase   -2.36% -6.85% -4.90% -13.34% -5.08% -10.88% -7.38% -9.42% -27.43% -11.68% -7.69%
Avg Days to Max Increase   12 8 9 11 7 9 10 8 16 5 3
2017 Contract Condition   Yes     Yes Yes Yes Yes   Yes    
Action   No     Yes Yes Yes Yes   No    
High 11.96 11.47 10.79 11.31 10.56 10.67 10.42 10.05 10.21 10.55 11.25 11.79
Low 10.83 10.33 10.34 10.77 10.07 9.90 10.00 9.77 9.77 9.36 9.48 10.86
Close/Last 10.98 10.34 10.75 10.83 10.37 10.06 10.01 9.82 10.15 9.42 11.13 11.51

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