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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, 2018
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   21 19 22 19 24 23 27 23 16 22 17
Exceeded High   12 17 14 11 19 21 19 21 13 16 13
Scenario Percentage   57% 89% 64% 58% 79% 91% 70% 91% 81% 73% 76%
Avg Max Increase   8.50% 9.98% 8.12% 10.45% 8.51% 8.11% 7.27% 7.22% 13.50% 12.16% 7.21%
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 23 15 17 19 12 13 16 11 8
Avg Max Decline   -2.43% -2.69% -2.39% -2.90% -2.10% -1.58% -3.51% -2.27% -3.83% -3.40% -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   13 7 11 12 9 9 9 9 12 7 2
2017 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes No   Yes Yes 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   23 26 23 26 21 21 18 22 29 23 28
Penetrated Low   14 22 20 20 15 20 12 18 26 19 17
Scenario Percentage   61% 85% 87% 77% 71% 95% 67% 82% 90% 83% 61%
Avg Max Decline   7.70% 7.29% 7.06% 6.58% 5.69% 5.99% 5.34% 7.36% 9.04% 8.80% 5.98%
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   14 21 15 12 16 18 12 17 20 12 8
Avg Max Increase   -1.50% -2.37% -1.42% -1.67% -2.15% -2.36% -2.48% -2.25% -3.70% -2.83% -1.15%
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 8 8 10 13 11 12 13 5 3
2017 Contract Condition   Yes     Yes       Yes Yes   Yes
Action   No     Yes       Yes Yes   Not Yet
High 395.75 367.50 367.00 381.75 379.50 378.25 384.50 393.75 389.50 379.50 379.00 391.75
Low 354.50 340.25 340.75 358.50 358.25 357.25 364.25 372.00 361.75 360.75 364.25 356.25
Close/Last 362.75 341.25 360.25 376.25 363.50 364.25 373.75 381.00 371.75 366.50 372.00 370.50

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