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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 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   16 14 20 18 24 15 22 26 23 25 20
Exceeded High   12 10 11 17 17 10 19 23 19 24 14
Scenario Percentage   75% 71% 55% 94% 71% 67% 86% 88% 83% 96% 70%
Avg Max Increase   9.79% 10.23% 9.27% 10.92% 8.63% 11.13% 8.92% 8.21% 8.14% 7.67% 4.43%
Max Increase   29.37% 28.32% 31.72% 41.11% 19.40% 29.08% 20.38% 25.34% 30.76% 37.35% 10.38%
Avg Days To Max Increase   13 15 17 17 23 16 18 19 13 8 6
Avg Max Decline   -1.14% -1.98% -3.05% -2.55% -2.14% -3.31% -2.35% -1.74% -3.40% -1.88% -1.48%
Max Decline   -7.55% -6.51% -10.29% -9.20% -12.15% -8.72% -9.03% -5.24% -16.83% -10.93% -4.71%
Avg Days to Max Decline   7 4 14 8 9 9 9 11 9 7 2
2022 Contract Condition   Yes     Yes Yes   Yes Yes Yes Yes Yes
Action   No     Yes Yes   Yes Yes Yes Yes Not Yet
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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   28 31 25 27 20 29 22 19 21 20 25
Penetrated Low   26 26 15 22 17 23 17 17 13 16 13
Scenario Percentage   93% 84% 60% 81% 85% 79% 77% 89% 62% 80% 52%
Avg Max Decline   9.83% 7.41% 7.33% 6.70% 7.07% 5.45% 4.37% 6.23% 7.41% 6.31% 3.03%
Max Decline   16.62% 19.10% 36.47% 29.80% 26.70% 16.30% 15.38% 14.10% 18.47% 11.89% 6.95%
Avg Days To Max Decline   17 19 15 22 14 12 14 19 16 8 7
Avg Max Increase   -2.08% -2.94% -1.06% -1.95% -1.73% -1.81% -1.81% -2.30% -2.59% -1.01% -1.55%
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 3 12 9 8 8 10 10 5 2
2022 Contract Condition     Yes Yes     Yes          
Action     Yes Yes     No          
High 640.00 636.00 619.50 603.25 560.25 580.75 601.00 619.50 640.50 716.25 782.75 827.00
Low 510.50 526.25 520.25 539.00 512.25 522.25 562.75 569.75 586.75 610.50 692.75 730.25
Close/Last 555.75 600.00 558.00 547.75 549.00 579.75 570.00 595.00 624.50 690.75 748.75 818.25

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