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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, 2016
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   22 17 22 20 25 21 26 24 15 21 18
Exceeded High   13 15 15 11 19 19 19 22 12 15 13
Scenario Percentage   59% 88% 68% 55% 76% 90% 73% 92% 80% 71% 72%
Avg Max Increase   8.17% 10.75% 7.81% 10.45% 8.19% 8.66% 7.27% 6.97% 13.61% 12.51% 7.36%
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 17 11 8
Avg Max Decline   -2.49% -2.93% -2.35% -2.90% -2.08% -1.67% -3.51% -2.18% -3.65% -3.36% -0.41%
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   12 7 10 12 9 10 9 9 12 6 2
2015 Contract Condition       Yes   Yes   Yes       Yes
Action       Yes   No   No       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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 28 23 25 20 23 19 21 30 24 27
Penetrated Low   15 23 19 18 14 22 13 17 26 20 16
Scenario Percentage   68% 82% 83% 72% 70% 96% 68% 81% 87% 83% 59%
Avg Max Decline   7.54% 7.15% 7.02% 6.87% 5.90% 5.86% 5.39% 7.78% 9.20% 8.66% 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   15 21 14 13 17 18 13 18 20 13 9
Avg Max Increase   -1.57% -2.44% -1.49% -1.71% -2.27% -2.23% -2.14% -2.36% -3.47% -2.70% -1.17%
Max Increase   -4.02% -10.86% -6.15% -6.87% -5.95% -6.56% -4.86% -5.12% -16.67% -9.22% -8.50%
Avg Days to Max Increase   5 12 9 8 11 12 8 12 12 5 3
2015 Contract Condition   Yes Yes   Yes   Yes   Yes Yes Yes  
Action   Yes Yes   Yes   Yes   Yes Yes Yes  
High 450.50 409.00 394.75 408.25 417.00 431.50 424.25 407.25 406.00 397.75 371.50 415.00
Low 392.25 385.25 348.00 347.00 387.00 392.75 381.50 383.50 375.00 362.50 348.25 336.50
Close/Last 395.25 392.75 349.50 404.25 403.75 412.50 386.00 401.25 384.25 366.25 351.50 414.00

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