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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Corn(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   16 17 24 17 21 16 22 22 24 24 19
Exceeded High   13 13 14 14 14 11 19 19 18 23 16
Scenario Percentage   81% 76% 58% 82% 67% 69% 86% 86% 75% 96% 84%
Avg Max Increase   14.20% 12.84% 8.03% 11.88% 8.11% 10.05% 8.65% 8.45% 7.56% 6.22% 5.77%
Max Increase   64.95% 28.32% 31.72% 41.11% 17.13% 28.57% 28.07% 16.47% 30.76% 26.04% 19.70%
Avg Days To Max Increase   10 17 15 16 22 16 18 22 12 7 8
Avg Max Decline   -0.56% -2.51% -2.63% -3.36% -2.08% -2.85% -2.43% -1.84% -3.46% -1.60% -1.42%
Max Decline   -4.17% -10.75% -10.29% -9.93% -12.15% -8.72% -9.03% -5.24% -16.83% -10.93% -5.25%
Avg Days to Max Decline   4 6 13 10 11 8 11 13 8 7 3
2014 Contract Condition       Yes         Yes Yes Yes Yes
Action       No         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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   26 28 21 28 23 28 22 23 21 21 26
Penetrated Low   23 22 14 22 18 21 16 21 13 16 15
Scenario Percentage   88% 79% 67% 79% 78% 75% 73% 91% 62% 76% 58%
Avg Max Decline   9.89% 6.94% 7.47% 7.22% 7.69% 6.61% 5.81% 5.98% 6.10% 6.41% 4.19%
Max Decline   18.43% 19.10% 36.47% 29.80% 26.70% 22.00% 24.08% 19.54% 13.19% 11.33% 10.93%
Avg Days To Max Decline   17 19 16 23 15 13 15 18 15 10 9
Avg Max Increase   -2.08% -2.49% -1.27% -2.25% -1.87% -1.59% -1.90% -2.00% -2.10% -1.32% -1.13%
Max Increase   -13.32% -9.45% -3.88% -4.86% -5.93% -3.76% -4.64% -6.59% -4.87% -5.66% -4.31%
Avg Days to Max Increase   6 9 4 11 10 8 9 9 6 8 2
2014 Contract Condition   Yes Yes   Yes Yes Yes Yes        
Action   Yes Yes   Yes Yes Yes Yes        
High 588.00 589.50 547.00 527.50 513.00 470.00 458.50 449.00 443.00 465.00 503.75 519.00
Low 531.00 528.75 492.00 467.50 461.75 446.75 428.25 426.75 414.50 438.75 464.00 485.50
Close/Last 582.75 529.25 499.25 502.50 462.25 447.50 432.75 430.25 439.50 463.50 502.00 514.00

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