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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 21, 2022
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 18 25 19 24 24 25 24 16 22 17
Exceeded High   12 17 16 10 20 22 19 23 13 16 14
Scenario Percentage   60% 94% 64% 53% 83% 92% 76% 96% 81% 73% 82%
Avg Max Increase   8.70% 9.98% 8.47% 11.43% 7.48% 7.52% 7.12% 8.26% 9.40% 11.91% 7.00%
Max Increase   30.68% 38.35% 18.35% 28.80% 19.41% 16.78% 26.54% 34.29% 24.95% 60.09% 18.07%
Avg Days To Max Increase   16 16 23 16 15 18 12 13 18 10 9
Avg Max Decline   -2.60% -2.15% -2.20% -3.32% -1.99% -1.54% -3.52% -2.33% -4.80% -3.71% -1.42%
Max Decline   -9.08% -8.83% -11.93% -8.20% -8.20% -4.31% -16.09% -10.79% -12.89% -10.06% -13.96%
Avg Days to Max Decline   13 5 9 13 8 9 10 9 15 9 3
2021 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes   Yes
Action   Yes Yes Yes Yes Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 27 20 26 21 20 20 21 29 23 28
Penetrated Low   15 22 19 20 16 19 13 18 25 20 17
Scenario Percentage   60% 81% 95% 77% 76% 95% 65% 86% 86% 87% 61%
Avg Max Decline   7.41% 6.89% 6.21% 5.31% 4.19% 5.84% 6.52% 7.65% 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 18 20 12 9
Avg Max Increase   -1.35% -2.30% -1.48% -1.58% -2.01% -2.33% -2.63% -2.13% -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 8 10 13 12 10 13 5 2
2021 Contract Condition               Yes     Yes  
Action               No     Not Yet  
High 383.25 383.25 400.50 422.50 441.25 482.00 543.50 556.25 547.50 684.00 735.25 743.25
Low 351.25 346.25 372.25 396.00 401.50 419.00 478.25 511.75 518.25 537.25 602.75 629.50
Close/Last 352.25 378.00 397.25 407.25 429.75 480.25 536.50 535.00 547.50 673.25 656.75 720.00

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