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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, 2016
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   15 17 23 17 21 16 23 22 24 24 18
Exceeded High   12 13 13 14 15 11 19 19 17 23 15
Scenario Percentage   80% 76% 57% 82% 71% 69% 83% 86% 71% 96% 83%
Avg Max Increase   15.13% 12.84% 8.38% 11.88% 8.02% 10.05% 8.65% 8.45% 7.73% 6.22% 6.11%
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 23 16 18 22 11 7 8
Avg Max Decline   -0.56% -2.51% -2.69% -3.36% -2.24% -2.85% -2.43% -1.84% -3.62% -1.60% -1.45%
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 12 10 11 8 11 13 9 7 2
2015 Contract Condition           Yes   Yes   Yes    
Action           Yes   No   No    
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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   27 28 22 28 23 28 21 23 21 21 27
Penetrated Low   24 22 15 23 18 21 15 21 13 17 16
Scenario Percentage   89% 79% 68% 82% 78% 75% 71% 91% 62% 81% 59%
Avg Max Decline   10.09% 7.40% 7.78% 6.94% 7.69% 6.77% 6.04% 6.09% 6.10% 6.40% 4.10%
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 15 22 15 13 15 18 15 10 9
Avg Max Increase   -2.00% -2.64% -1.23% -2.19% -1.87% -1.90% -1.98% -2.23% -2.10% -1.46% -1.17%
Max Increase   -13.32% -9.45% -3.88% -4.86% -5.93% -7.12% -4.64% -6.59% -4.87% -5.66% -4.31%
Avg Days to Max Increase   5 9 3 11 10 9 9 9 6 7 2
2015 Contract Condition   Yes Yes Yes Yes   Yes   Yes   Yes Yes
Action   Yes Yes Yes Yes   Yes   Yes   Yes Yes
High 527.00 475.00 443.25 402.25 388.25 402.50 409.75 425.25 418.25 400.00 398.50 390.00
Low 472.50 442.25 384.50 378.25 341.00 339.50 380.25 386.00 373.75 375.75 367.00 359.00
Close/Last 473.00 443.50 387.75 386.00 342.00 398.00 397.00 405.75 378.50 393.25 376.25 362.50

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