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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 19 24 21 24 26 18 22 16 17 23
Exceeded High   15 11 19 19 19 24 16 17 11 11 11
Scenario Percentage   63% 58% 79% 90% 79% 92% 89% 77% 69% 65% 48%
Avg Max Increase   6.83% 9.33% 8.60% 7.65% 6.46% 8.63% 11.95% 12.78% 16.98% 11.83% 4.55%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 34.25% 20.75% 10.02%
Avg Days To Max Increase   20 15 17 22 14 14 15 15 16 11 7
Avg Max Decline   -1.68% -2.48% -1.53% -1.39% -2.95% -2.20% -2.95% -2.72% -0.73% -1.55% -0.78%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.72% -6.60% -2.19%
Avg Days to Max Decline   8 9 6 10 9 12 12 9 5 3 2
2013 Contract Condition   Yes           Yes Yes      
Action   No           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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 26 20 24 21 18 27 23 29 28 22
Penetrated Low   14 17 15 24 16 17 24 20 23 21 10
Scenario Percentage   74% 65% 75% 100% 76% 94% 89% 87% 79% 75% 45%
Avg Max Decline   5.71% 6.82% 5.54% 5.34% 4.48% 6.62% 9.22% 10.60% 12.77% 7.68% 5.19%
Max Decline   25.43% 22.45% 20.47% 17.92% 9.56% 12.01% 18.83% 27.77% 19.93% 17.40% 10.31%
Avg Days To Max Decline   15 13 18 16 14 16 21 22 15 10 6
Avg Max Increase   -1.63% -1.25% -1.46% -1.64% -2.42% -2.72% -3.32% -4.89% -2.80% -1.88% -0.69%
Max Increase   -6.50% -4.22% -3.85% -6.44% -9.03% -5.91% -19.29% -27.18% -18.45% -8.17% -2.10%
Avg Days to Max Increase   8 6 6 11 9 10 12 11 5 3 2
2013 Contract Condition     Yes Yes Yes Yes Yes     Yes Yes Yes
Action     Yes Yes Yes Yes Yes     Yes Yes Not Yet
High 699.00 677.00 669.75 668.50 627.25 620.00 606.25 596.75 601.00 610.50 563.50 522.75
Low 629.00 645.50 620.25 614.50 592.00 568.50 561.50 536.50 538.50 540.50 488.25 453.75
Close/Last 659.00 661.50 656.75 621.25 615.25 582.75 563.00 580.25 597.25 547.25 499.00 495.00

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