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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Rough Rice(CBOT) as of Dec 27, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 27 33 34 37 37 37 37 37 37 37
Closed Higher   8 18 13 16 16 23 19 16 13 21 16
Exceeded High   4 12 10 15 14 21 12 13 9 15 10
Scenario Percentage   50% 67% 77% 94% 88% 91% 63% 81% 69% 71% 63%
Avg Max Increase   5.40% 6.47% 7.94% 7.35% 10.37% 9.34% 7.08% 6.66% 9.02% 10.90% 8.03%
Max Increase   11.11% 25.44% 23.19% 23.16% 34.06% 26.96% 22.02% 11.61% 21.03% 65.96% 39.29%
Avg Days To Max Increase   20 20 18 17 19 17 11 18 16 14 11
Avg Max Decline   -1.35% -1.07% -1.92% -1.70% -1.13% -1.71% -1.91% -3.77% -2.83% -2.50% -1.59%
Max Decline   -2.87% -7.69% -4.80% -6.96% -4.59% -6.85% -5.28% -12.46% -5.52% -9.44% -3.97%
Avg Days to Max Decline   2 8 14 5 9 10 5 14 11 8 5
2023 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 27 33 34 37 37 37 37 37 37 37
Closed Lower   16 9 19 18 21 14 18 20 23 16 21
Penetrated Low   12 7 15 17 17 10 15 17 18 11 9
Scenario Percentage   75% 78% 79% 94% 81% 71% 83% 85% 78% 69% 43%
Avg Max Decline   5.67% 7.20% 6.70% 7.18% 7.48% 11.15% 7.47% 10.08% 8.87% 9.57% 3.52%
Max Decline   16.73% 12.53% 19.93% 17.53% 21.93% 28.05% 22.07% 23.56% 25.86% 24.54% 6.53%
Avg Days To Max Decline   15 25 16 16 22 16 16 17 19 17 10
Avg Max Increase   -0.98% -1.35% -1.24% -1.36% -1.99% -2.66% -3.06% -3.11% -3.63% -2.43% -1.30%
Max Increase   -4.70% -3.16% -4.47% -7.30% -7.03% -6.49% -11.65% -8.59% -16.01% -7.27% -3.52%
Avg Days to Max Increase   8 7 6 8 10 7 17 7 9 6 3
2023 Contract Condition   Yes     Yes Yes Yes Yes Yes      
Action   Yes     Yes Yes Yes Yes No      
High 17.45 16.49 16.95 17.11 17.09 16.97 16.40 15.65 15.52 15.87 16.31 16.82
Low 16.59 16.02 15.98 16.45 16.46 16.28 15.23 14.51 14.31 14.60 14.57 15.40
Close/Last 16.59 16.05 16.49 17.02 16.77 16.41 15.63 15.24 14.72 14.98 15.47 16.79

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