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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Corn(CBOT) as of Sep 26, 2023
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 15 21 18 24 14 23 25 23 25 20
Exceeded High   12 11 12 17 16 10 20 22 19 24 14
Scenario Percentage   75% 73% 57% 94% 67% 71% 87% 88% 83% 96% 70%
Avg Max Increase   9.79% 10.35% 8.91% 10.58% 8.88% 11.13% 8.53% 8.04% 8.14% 7.62% 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 16 16 16 23 16 18 18 13 8 6
Avg Max Decline   -1.14% -2.24% -2.99% -2.55% -2.28% -3.31% -2.45% -1.78% -3.40% -1.96% -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 13 8 9 9 9 11 9 8 2
2023 Contract Condition     Yes Yes Yes Yes   Yes     Yes  
Action     Yes Yes Yes No   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   28 30 24 27 20 30 21 20 21 20 25
Penetrated Low   26 25 15 22 17 24 17 18 14 16 13
Scenario Percentage   93% 83% 63% 81% 85% 80% 81% 90% 67% 80% 52%
Avg Max Decline   9.53% 7.51% 7.33% 6.70% 7.07% 5.41% 4.37% 6.46% 7.15% 6.31% 3.03%
Max Decline   14.71% 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   -2.19% -2.91% -1.06% -1.95% -1.73% -1.74% -1.81% -2.23% -2.54% -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 9 5 2
2023 Contract Condition   Yes         Yes   Yes Yes   Yes
Action   Yes         Yes   Yes Yes   Not Yet
High 766.50 753.25 665.00 688.75 702.50 712.00 702.25 684.00 686.00 684.75 664.50 682.50
Low 708.00 628.75 573.75 599.50 662.50 680.50 653.00 636.75 648.25 630.00 606.75 621.75
Close/Last 716.75 629.75 630.00 678.25 684.50 695.75 665.25 678.00 677.50 630.25 660.50 636.00

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