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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Jun 30, 2022
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 14 20 18 24 17 20 26 24
Exceeded High   19 18 13 9 11 17 15 10 17 21 19
Scenario Percentage   86% 82% 76% 64% 55% 94% 63% 59% 85% 81% 79%
Avg Max Increase   12.13% 11.19% 10.13% 11.81% 9.56% 11.45% 9.39% 10.26% 8.91% 7.15% 3.41%
Max Increase   56.84% 45.67% 31.26% 29.19% 32.23% 42.96% 20.46% 29.99% 21.15% 27.80% 14.70%
Avg Days To Max Increase   16 13 10 16 17 17 25 15 17 7 6
Avg Max Decline   -3.43% -2.53% -0.54% -2.04% -3.53% -2.74% -2.50% -3.54% -2.18% -1.34% -1.20%
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 5 15 8 10 8 8 5 2
2022 Contract Condition   Yes   Yes     Yes Yes   Yes Yes Yes
Action   Yes   No     Yes Yes   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 23 28 31 25 27 21 27 25 19 21
Penetrated Low   22 21 26 26 17 22 19 22 20 13 7
Scenario Percentage   96% 91% 93% 84% 68% 81% 90% 81% 80% 68% 33%
Avg Max Decline   6.97% 9.71% 10.51% 7.86% 7.08% 7.10% 7.81% 5.92% 4.64% 5.36% 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 22 17 19 16 21 15 13 14 13 7
Avg Max Increase   -3.43% -3.64% -2.33% -3.14% -1.19% -2.05% -1.88% -1.87% -1.61% -1.83% -1.06%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -7.27% -5.15% -6.87% -1.66%
Avg Days to Max Increase   13 10 6 10 5 11 9 10 8 7 3
2022 Contract Condition     Yes   Yes Yes     Yes      
Action     No   Yes Yes     No      
High 492.50 594.75 640.50 633.00 616.50 599.75 555.75 577.00 596.75 617.75 642.50 718.75
Low 457.50 487.00 507.25 521.50 515.00 533.75 506.75 516.25 557.50 567.25 584.75 610.25
Close/Last 485.50 568.50 552.25 595.50 553.25 542.75 544.50 576.25 567.50 593.25 626.00 697.50

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