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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, 2019
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   20 18 22 18 23 24 27 24 16 21 17
Exceeded High   11 17 14 10 19 22 19 22 13 15 12
Scenario Percentage   55% 94% 64% 56% 83% 92% 70% 92% 81% 71% 71%
Avg Max Increase   8.42% 9.98% 8.12% 10.28% 8.51% 8.05% 7.12% 7.08% 9.75% 11.83% 7.21%
Max Increase   30.68% 38.35% 16.30% 28.80% 28.71% 16.78% 26.54% 30.33% 24.95% 60.09% 16.99%
Avg Days To Max Increase   15 15 23 16 17 19 12 14 16 10 7
Avg Max Decline   -2.70% -2.69% -2.39% -3.24% -2.10% -1.58% -3.52% -2.35% -3.99% -3.32% -0.45%
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   14 7 11 13 9 9 10 9 13 6 2
2018 Contract Condition             Yes Yes Yes Yes    
Action             Yes 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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 27 23 27 22 20 18 21 29 24 28
Penetrated Low   14 23 21 21 16 19 12 18 26 20 17
Scenario Percentage   58% 85% 91% 78% 73% 95% 67% 86% 90% 83% 61%
Avg Max Decline   7.70% 7.19% 6.89% 6.39% 5.43% 6.12% 5.34% 7.36% 9.04% 9.01% 5.64%
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   14 21 15 12 16 18 12 17 20 12 7
Avg Max Increase   -1.50% -2.27% -1.41% -1.65% -2.07% -2.37% -2.48% -2.25% -3.70% -2.73% -0.68%
Max Increase   -4.02% -10.86% -6.15% -6.87% -5.95% -6.56% -4.86% -5.12% -16.67% -9.22% -3.16%
Avg Days to Max Increase   5 12 8 8 10 13 11 12 13 5 2
2018 Contract Condition   Yes Yes Yes Yes Yes         Yes Yes
Action   No Yes Yes Yes Yes         Yes Yes
High 434.25 411.00 388.25 384.75 381.00 376.00 378.00 391.75 402.75 404.00 412.25 397.00
Low 401.25 371.00 372.50 373.00 365.00 363.25 362.00 372.00 377.50 380.50 390.75 338.75
Close/Last 407.00 384.00 383.75 376.00 371.50 367.25 377.25 389.50 396.25 400.75 394.00 350.25

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