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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Corn(CBOT) as of Nov 09, 2020
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 24 18 23 24 26 23 16 23 16
Exceeded High   11 16 15 9 19 21 19 22 13 17 13
Scenario Percentage   55% 94% 63% 50% 83% 88% 73% 96% 81% 74% 81%
Avg Max Increase   8.42% 9.91% 7.81% 9.76% 7.04% 7.70% 7.12% 7.08% 9.75% 11.69% 7.21%
Max Increase   30.68% 38.35% 16.30% 28.80% 19.41% 16.78% 26.54% 30.33% 24.95% 60.09% 18.07%
Avg Days To Max Increase   15 15 22 15 16 19 12 14 16 10 8
Avg Max Decline   -2.70% -2.26% -2.25% -3.41% -2.07% -1.51% -3.52% -2.35% -3.99% -3.53% -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 6 10 14 9 9 10 9 13 8 2
2020 Contract Condition     Yes Yes   Yes         Yes Yes
Action     Yes No   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 28 21 27 22 20 19 22 29 22 29
Penetrated Low   15 23 20 21 16 19 13 19 25 20 17
Scenario Percentage   60% 82% 95% 78% 73% 95% 68% 86% 86% 91% 59%
Avg Max Decline   7.41% 7.19% 6.37% 5.40% 4.19% 5.84% 6.52% 7.27% 8.89% 9.17% 6.29%
Max Decline   35.76% 29.27% 26.37% 16.28% 14.84% 13.49% 17.05% 13.95% 20.53% 22.44% 16.21%
Avg Days To Max Decline   15 21 14 11 16 19 14 17 20 12 9
Avg Max Increase   -1.35% -2.27% -1.41% -1.62% -2.01% -2.33% -2.63% -2.02% -4.00% -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 7 10 13 12 10 13 5 2
2020 Contract Condition   Yes     Yes   Yes Yes Yes Yes    
Action   Yes     Yes   Yes Yes Yes No    
High 472.75 441.50 408.75 420.00 411.50 404.25 404.50 394.00 387.75 347.50 330.75 342.00
Low 430.00 391.00 382.25 400.75 383.75 383.50 388.50 370.00 338.25 309.00 312.25 313.50
Close/Last 430.25 397.00 408.50 410.00 390.25 401.00 391.00 372.50 346.00 320.00 325.75 338.50

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