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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Dec 30, 2016
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 22 18 17 22 17 21 17 20 24 24
Exceeded High   18 18 14 13 12 15 14 11 16 19 17
Scenario Percentage   86% 82% 78% 76% 55% 88% 67% 65% 80% 79% 71%
Avg Max Increase   13.76% 13.21% 16.84% 13.30% 8.94% 11.77% 8.36% 9.27% 9.19% 6.67% 2.72%
Max Increase   56.84% 45.67% 70.21% 29.19% 32.23% 42.96% 17.55% 29.33% 27.63% 16.19% 8.20%
Avg Days To Max Increase   15 13 12 17 15 15 24 15 17 8 6
Avg Max Decline   -3.33% -2.43% -0.55% -2.71% -3.05% -3.28% -2.47% -2.92% -2.30% -1.71% -1.32%
Max Decline   -7.89% -5.76% -5.30% -11.73% -11.20% -9.57% -12.56% -9.73% -5.89% -8.05% -5.01%
Avg Days to Max Decline   12 6 3 6 14 9 11 8 10 5 3
2016 Contract Condition       Yes     Yes       Yes  
Action       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 23 27 28 23 28 24 27 25 21 21
Penetrated Low   22 21 23 23 16 23 20 21 19 15 8
Scenario Percentage   96% 91% 85% 82% 70% 82% 83% 78% 76% 71% 38%
Avg Max Decline   7.43% 9.09% 10.41% 7.73% 7.63% 7.78% 8.59% 7.25% 5.92% 5.93% 2.49%
Max Decline   15.47% 22.39% 16.96% 19.56% 37.09% 30.45% 27.13% 21.39% 24.80% 20.24% 4.47%
Avg Days To Max Decline   20 21 17 19 16 21 16 14 14 10 5
Avg Max Increase   -3.02% -3.78% -2.20% -2.96% -1.38% -2.16% -1.81% -2.00% -1.67% -1.70% -1.10%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -7.27% -5.15% -6.87% -3.39%
Avg Days to Max Increase   10 10 6 9 5 9 9 11 8 6 2
2016 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes   Yes
Action   Yes Yes   Yes No   Yes Yes Yes   Yes
High 430.00 423.25 399.25 441.75 464.00 412.75 406.25 410.00 391.50 382.00 372.50 373.75
Low 402.50 392.25 376.00 374.00 386.75 368.75 371.75 382.75 364.25 357.00 348.50 352.50
Close/Last 410.00 394.75 378.50 440.75 392.00 386.25 398.75 391.50 372.25 358.75 372.00 353.50

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