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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, 2015
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 17 22 20 24 21 25 24 16 22 18
Exceeded High   14 15 14 11 19 19 19 22 13 16 12
Scenario Percentage   61% 88% 64% 55% 79% 90% 76% 92% 81% 73% 67%
Avg Max Increase   7.82% 10.75% 7.89% 10.45% 8.19% 8.66% 7.27% 6.97% 13.25% 12.28% 7.56%
Max Increase   30.68% 38.35% 16.30% 28.80% 28.71% 16.78% 26.54% 30.33% 51.63% 60.09% 18.07%
Avg Days To Max Increase   15 15 22 15 17 20 12 13 18 12 8
Avg Max Decline   -2.42% -2.93% -2.21% -2.90% -2.08% -1.67% -3.51% -2.18% -3.44% -3.16% -0.22%
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 11 12 9 10 9 9 12 5 2
2014 Contract Condition   Yes         Yes Yes Yes Yes    
Action   No         Yes Yes Yes No    
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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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 28 23 25 21 23 19 21 29 23 27
Penetrated Low   14 22 19 18 15 22 13 16 25 19 16
Scenario Percentage   67% 79% 83% 72% 71% 96% 68% 76% 86% 83% 59%
Avg Max Decline   7.24% 7.44% 7.02% 6.73% 5.72% 5.79% 5.39% 7.68% 9.25% 8.89% 6.11%
Max Decline   35.76% 29.27% 26.37% 22.48% 22.89% 18.80% 10.92% 13.95% 20.53% 22.44% 16.21%
Avg Days To Max Decline   16 22 14 13 16 17 13 18 21 13 9
Avg Max Increase   -1.64% -2.52% -1.49% -1.35% -2.14% -2.00% -2.14% -2.29% -3.55% -2.59% -1.17%
Max Increase   -4.02% -10.86% -6.15% -3.64% -5.95% -6.56% -4.86% -5.12% -16.67% -9.22% -8.50%
Avg Days to Max Increase   5 12 9 7 11 12 8 13 12 5 3
2014 Contract Condition     Yes Yes Yes Yes         Yes Yes
Action     Yes Yes Yes Yes         Yes Yes
High 553.50 532.25 519.25 477.25 464.75 456.00 450.00 468.75 508.25 524.25 522.75 470.50
Low 498.25 473.50 468.00 453.75 435.50 434.25 421.75 443.25 468.00 490.75 465.00 422.50
Close/Last 505.50 508.75 469.00 454.25 440.00 437.00 444.00 467.50 506.75 519.00 465.75 424.25

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