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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, 2015
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 18 24 22 25 27 18 21 16 17 23
Exceeded High   15 11 19 20 20 25 15 17 11 11 11
Scenario Percentage   63% 61% 79% 91% 80% 93% 83% 81% 69% 65% 48%
Avg Max Increase   6.83% 9.33% 8.60% 7.90% 6.69% 8.43% 12.45% 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% -1.33% -2.80% -2.18% -3.10% -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 9 9 12 13 9 5 3 2
2014 Contract Condition         Yes Yes Yes Yes       Yes
Action         Yes Yes Yes No       Not Yet
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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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 27 20 23 20 17 27 24 29 28 22
Penetrated Low   15 18 15 23 15 17 24 21 23 22 10
Scenario Percentage   75% 67% 75% 100% 75% 100% 89% 88% 79% 79% 45%
Avg Max Decline   5.62% 6.67% 5.63% 5.45% 4.64% 6.62% 9.22% 11.15% 13.27% 7.69% 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   14 13 17 16 13 16 21 22 14 10 6
Avg Max Increase   -1.66% -1.36% -1.54% -1.69% -2.51% -2.72% -3.32% -4.70% -2.69% -1.96% -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 7 11 9 10 12 10 5 4 2
2014 Contract Condition   Yes Yes Yes         Yes Yes Yes  
Action   Yes Yes Yes         Yes Yes Yes  
High 519.50 483.00 470.00 461.25 454.50 468.50 502.75 519.75 518.00 461.50 418.50 370.00
Low 473.00 460.25 442.00 440.75 428.25 445.75 468.50 488.50 457.25 416.75 356.50 347.75
Close/Last 473.75 460.75 446.50 443.50 446.25 468.00 502.00 513.25 458.00 418.75 357.00 359.00

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