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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Corn(CBOT) as of Oct 20, 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 17 23 18 22 24 26 24 16 22 16
Exceeded High   11 16 15 9 18 21 19 22 13 16 11
Scenario Percentage   55% 94% 65% 50% 82% 88% 73% 92% 81% 73% 69%
Avg Max Increase   8.42% 9.92% 7.81% 9.76% 7.38% 7.70% 7.12% 7.08% 9.75% 11.64% 7.21%
Max Increase   30.68% 38.35% 16.30% 28.80% 19.41% 16.78% 26.54% 30.33% 24.95% 60.09% 16.99%
Avg Days To Max Increase   15 14 22 15 17 19 12 14 16 11 7
Avg Max Decline   -2.70% -2.32% -2.25% -3.41% -2.18% -1.51% -3.52% -2.35% -3.99% -3.41% -0.51%
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 5 10 14 9 9 10 9 13 6 2
2019 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 28 22 27 23 20 19 21 29 23 29
Penetrated Low   15 23 21 21 17 19 13 18 26 20 17
Scenario Percentage   60% 82% 95% 78% 74% 95% 68% 86% 90% 87% 59%
Avg Max Decline   7.54% 7.19% 6.89% 6.39% 5.29% 6.12% 5.50% 7.08% 8.82% 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   15 21 15 12 17 18 13 17 21 12 7
Avg Max Increase   -1.46% -2.27% -1.41% -1.65% -2.08% -2.37% -2.50% -2.10% -3.81% -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 12 10 13 5 2
2019 Contract Condition   Yes Yes     Yes   Yes Yes Yes   Yes
Action   Yes No     Yes   Yes Yes Yes   Not Yet
High 409.25 410.50 394.00 402.25 403.25 401.25 399.50 397.25 390.00 375.25 438.00 464.25
Low 375.50 381.50 370.00 381.75 382.00 387.75 387.50 378.75 365.75 351.50 343.00 407.00
Close/Last 406.75 390.50 381.25 389.75 391.50 390.75 392.75 379.50 366.25 362.50 427.00 420.25

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