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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Corn(CBOT) as of Nov 09, 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   15 15 21 17 22 14 21 25 24 23 19
Exceeded High   12 11 11 15 15 9 18 21 18 22 15
Scenario Percentage   80% 73% 52% 88% 68% 64% 86% 84% 75% 96% 79%
Avg Max Increase   10.14% 10.98% 8.72% 10.93% 8.03% 9.13% 7.45% 7.57% 7.50% 6.51% 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 16 15 16 22 15 18 20 12 7 8
Avg Max Decline   -0.57% -1.83% -2.90% -2.54% -2.13% -3.39% -2.43% -1.69% -3.60% -1.82% -1.58%
Max Decline   -4.17% -6.51% -10.29% -9.20% -12.15% -8.72% -9.03% -5.24% -16.83% -10.93% -5.25%
Avg Days to Max Decline   3 3 14 8 10 10 10 12 10 8 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   29 30 24 28 22 30 23 20 21 22 26
Penetrated Low   26 25 14 23 19 24 17 18 13 18 14
Scenario Percentage   90% 83% 58% 82% 86% 80% 74% 90% 62% 82% 54%
Avg Max Decline   9.83% 7.36% 7.40% 6.98% 7.33% 5.55% 4.37% 6.04% 7.41% 6.24% 3.77%
Max Decline   16.62% 19.10% 36.47% 29.80% 26.70% 16.30% 15.38% 14.10% 18.47% 11.89% 9.08%
Avg Days To Max Decline   17 19 15 21 14 12 14 20 16 10 10
Avg Max Increase   -2.08% -2.71% -1.11% -2.02% -1.55% -1.82% -1.81% -2.32% -2.59% -1.20% -1.58%
Max Increase   -13.32% -9.45% -3.88% -4.86% -5.93% -7.12% -4.64% -6.59% -5.02% -5.66% -4.31%
Avg Days to Max Increase   6 10 4 12 9 8 8 10 10 5 3
2020 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes Yes Yes
Action   Yes Yes Yes   Yes Yes   Yes Yes Yes Not Yet
High 464.50 476.50 471.75 439.00 405.25 416.50 406.00 398.50 398.75 389.50 386.75 343.25
Low 388.25 433.00 425.75 384.00 374.75 396.00 378.75 377.50 382.25 365.75 332.00 300.25
Close/Last 452.75 443.00 426.00 390.00 405.25 404.75 385.75 394.75 386.50 368.25 340.75 311.50

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