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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Oct 20, 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 22 17 16 21 16 22 16 18 25 24
Exceeded High   19 18 14 11 11 15 13 9 15 19 18
Scenario Percentage   86% 82% 82% 69% 52% 94% 59% 56% 83% 76% 75%
Avg Max Increase   12.09% 11.41% 12.27% 11.94% 8.86% 11.50% 8.71% 8.07% 7.57% 6.18% 2.78%
Max Increase   56.84% 45.67% 35.71% 29.19% 32.23% 42.96% 17.55% 29.33% 19.43% 16.19% 8.20%
Avg Days To Max Increase   16 12 12 18 15 15 24 14 16 7 6
Avg Max Decline   -3.38% -2.35% -0.50% -2.75% -3.37% -2.73% -2.52% -3.63% -2.17% -1.25% -1.29%
Max Decline   -7.89% -5.76% -5.30% -11.73% -11.20% -9.57% -12.56% -9.73% -5.89% -3.09% -5.01%
Avg Days to Max Decline   12 6 3 7 15 7 10 9 8 5 3
2019 Contract Condition   Yes     Yes     Yes Yes   Yes  
Action   Yes     No     No No   Not Yet  
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 23 28 29 24 29 23 28 27 20 21
Penetrated Low   22 21 25 24 16 24 21 23 21 14 8
Scenario Percentage   96% 91% 89% 83% 67% 83% 91% 82% 78% 70% 38%
Avg Max Decline   7.39% 9.61% 10.35% 7.59% 7.19% 7.67% 8.35% 6.83% 5.60% 6.12% 2.67%
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   21 20 17 19 16 20 16 13 15 11 6
Avg Max Increase   -3.25% -3.79% -2.14% -2.89% -1.33% -2.09% -1.80% -1.90% -1.69% -1.75% -1.35%
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   12 10 6 10 5 10 8 10 8 6 3
2019 Contract Condition     Yes Yes   Yes Yes     Yes   Yes
Action     Yes Yes   Yes No     Yes   Yes
High 418.50 425.50 437.00 425.50 398.75 398.75 381.25 390.50 390.00 387.75 384.50 381.75
Low 398.75 403.25 419.25 369.50 362.25 368.00 354.75 368.50 367.25 372.50 371.00 361.25
Close/Last 418.25 423.50 422.50 381.25 397.00 377.25 368.00 375.75 377.75 375.00 376.50 362.00

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