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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Corn(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 17 23 21 24 20 24 23 16 23 18
Exceeded High   14 15 15 11 19 18 18 21 14 16 11
Scenario Percentage   64% 88% 65% 52% 79% 90% 75% 91% 88% 70% 61%
Avg Max Increase   7.82% 10.75% 7.74% 10.45% 8.19% 8.34% 6.99% 7.14% 12.55% 12.09% 7.49%
Max Increase   30.68% 38.35% 16.30% 28.80% 28.71% 16.78% 26.54% 30.33% 51.63% 60.09% 16.99%
Avg Days To Max Increase   15 15 22 15 17 20 12 13 18 13 7
Avg Max Decline   -2.42% -2.93% -2.11% -2.90% -2.08% -1.75% -3.71% -2.18% -3.27% -3.06% -0.24%
Max Decline   -9.08% -8.83% -11.93% -8.20% -8.20% -4.31% -16.09% -10.79% -12.89% -10.06% -4.16%
Avg Days to Max Decline   13 7 10 12 9 11 10 9 11 4 2
2013 Contract Condition         Yes   Yes       Yes Yes
Action         No   Yes       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 28 22 24 21 24 20 22 29 22 27
Penetrated Low   14 22 18 17 15 23 14 16 25 18 15
Scenario Percentage   67% 79% 82% 71% 71% 96% 70% 73% 86% 82% 56%
Avg Max Decline   7.24% 7.14% 7.16% 6.88% 5.65% 5.72% 5.18% 7.68% 9.25% 8.36% 5.33%
Max Decline   35.76% 29.27% 26.37% 22.48% 22.89% 18.80% 10.92% 13.95% 20.53% 21.00% 15.62%
Avg Days To Max Decline   16 21 15 13 17 17 13 18 21 13 7
Avg Max Increase   -1.64% -2.45% -1.44% -1.22% -2.07% -1.94% -2.07% -2.29% -3.55% -2.68% -1.26%
Max Increase   -4.02% -10.86% -6.15% -2.76% -5.95% -6.56% -4.86% -5.12% -16.67% -9.22% -8.50%
Avg Days to Max Increase   5 12 8 7 11 11 8 13 12 5 3
2013 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes    
Action   Yes Yes Yes   Yes   Yes Yes No    
High 796.25 824.00 796.00 762.50 756.00 755.00 736.75 738.75 718.00 669.00 669.75 685.50
Low 651.75 766.25 700.50 720.50 700.00 689.00 672.00 667.50 664.50 610.00 625.00 640.50
Close/Last 784.75 780.50 749.00 744.00 744.25 697.25 733.25 684.75 676.00 650.00 662.00 679.25

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