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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Corn(CBOT) as of Feb 14, 2020
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   15 16 21 17 22 14 20 25 24 24 19
Exceeded High   12 12 11 15 15 9 17 21 18 23 15
Scenario Percentage   80% 75% 52% 88% 68% 64% 85% 84% 75% 96% 79%
Avg Max Increase   10.14% 10.65% 8.72% 10.99% 8.03% 9.13% 7.83% 7.57% 7.50% 6.30% 4.92%
Max Increase   29.37% 28.32% 31.72% 41.11% 17.13% 28.57% 19.39% 16.47% 30.76% 26.04% 11.46%
Avg Days To Max Increase   10 17 15 15 22 15 17 20 12 7 8
Avg Max Decline   -0.57% -2.57% -2.90% -2.58% -2.13% -3.39% -2.38% -1.69% -3.60% -1.76% -1.58%
Max Decline   -4.17% -10.75% -10.29% -9.20% -12.15% -8.72% -9.03% -5.24% -16.83% -10.93% -5.25%
Avg Days to Max Decline   3 6 14 8 10 10 9 12 10 7 2
2020 Contract Condition         Yes     Yes        
Action         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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   28 29 24 28 22 30 24 20 21 21 26
Penetrated Low   25 24 14 23 19 24 18 18 13 17 15
Scenario Percentage   89% 83% 58% 82% 86% 80% 75% 90% 62% 81% 58%
Avg Max Decline   9.69% 7.16% 7.52% 6.98% 7.80% 6.38% 5.46% 6.35% 6.26% 5.91% 3.93%
Max Decline   16.62% 19.10% 36.47% 29.80% 26.70% 22.00% 24.08% 19.54% 13.19% 9.89% 9.08%
Avg Days To Max Decline   17 20 15 21 15 12 15 19 14 9 10
Avg Max Increase   -1.91% -2.70% -1.22% -2.02% -1.62% -1.84% -1.86% -2.38% -2.46% -1.22% -1.42%
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   6 10 4 12 9 8 8 10 10 5 2
2020 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes    
Action   Yes Yes Yes   Yes Yes   Yes      
High 464.50 476.50 471.75 439.00 405.25 416.50 406.00 398.50 398.75 389.50    
Low 388.25 433.00 425.75 384.00 374.75 396.00 378.75 377.50 382.25 380.75    
Close/Last 452.75 443.00 426.00 390.00 405.25 404.75 385.75 394.75 386.50 382.00    

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