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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Apr 02, 2020
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 23 16 15 21 16 22 16 19 25 24
Exceeded High   19 19 13 10 11 15 13 9 16 19 18
Scenario Percentage   86% 83% 81% 67% 52% 94% 59% 56% 84% 76% 75%
Avg Max Increase   12.09% 11.10% 10.47% 12.50% 8.86% 11.46% 8.71% 8.07% 7.20% 6.06% 2.63%
Max Increase   56.84% 45.67% 31.26% 29.19% 32.23% 42.96% 17.55% 29.33% 19.43% 16.19% 8.20%
Avg Days To Max Increase   16 13 10 17 15 16 24 14 17 7 5
Avg Max Decline   -3.38% -2.44% -0.58% -1.86% -3.37% -2.73% -2.52% -3.63% -2.23% -1.25% -1.21%
Max Decline   -7.89% -5.76% -5.30% -6.62% -11.20% -9.57% -12.56% -9.73% -5.89% -3.09% -5.01%
Avg Days to Max Decline   12 6 3 4 15 8 10 9 9 5 2
2020 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 22 29 30 24 29 23 28 26 20 21
Penetrated Low   22 21 26 25 16 24 21 23 20 14 7
Scenario Percentage   96% 95% 90% 83% 67% 83% 91% 82% 77% 70% 33%
Avg Max Decline   7.11% 9.61% 10.51% 7.81% 7.10% 7.67% 7.99% 6.01% 4.64% 4.97% 2.49%
Max Decline   15.47% 22.39% 16.96% 19.56% 37.09% 30.45% 27.13% 16.47% 16.16% 11.02% 4.47%
Avg Days To Max Decline   21 20 17 19 16 20 15 13 14 12 7
Avg Max Increase   -3.33% -3.79% -2.33% -2.90% -1.24% -2.09% -1.72% -1.86% -1.61% -1.44% -1.06%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -7.27% -5.15% -3.94% -1.66%
Avg Days to Max Increase   12 10 6 10 5 10 8 10 8 5 3
2020 Contract Condition   Yes   Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes   Yes Yes Yes   Yes Yes   Yes Not Yet
High 412.50 407.00 462.25 476.00 470.50 434.25 399.75 411.75 400.00 392.00 394.00 385.00
Low 396.75 387.50 378.50 431.75 420.00 376.00 365.75 389.75 373.00 371.00 375.25 361.75
Close/Last 397.00 396.00 451.50 439.50 420.50 382.25 399.50 398.75 381.25 387.75 381.25 366.50

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