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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) as of Dec 30, 2016
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   25 17 24 23 25 27 18 21 15 17 22
Exceeded High   16 11 18 21 19 25 15 17 11 11 11
Scenario Percentage   64% 65% 75% 91% 76% 93% 83% 81% 73% 65% 50%
Avg Max Increase   6.76% 9.33% 8.95% 7.55% 6.71% 8.43% 12.71% 12.75% 15.91% 11.97% 4.70%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 34.25% 20.75% 11.13%
Avg Days To Max Increase   20 15 18 22 13 14 14 15 14 11 7
Avg Max Decline   -1.83% -2.48% -1.63% -1.32% -2.88% -2.18% -3.35% -2.68% -0.43% -1.55% -0.78%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.47% -6.60% -2.19%
Avg Days to Max Decline   8 9 6 9 8 12 13 8 3 3 2
2016 Contract Condition         Yes     Yes Yes      
Action         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 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   19 28 20 22 20 18 27 24 30 28 23
Penetrated Low   15 19 15 22 15 18 25 22 24 23 13
Scenario Percentage   79% 68% 75% 100% 75% 100% 93% 92% 80% 82% 57%
Avg Max Decline   5.97% 6.72% 5.57% 5.44% 4.26% 6.58% 9.07% 10.71% 13.45% 7.72% 5.43%
Max Decline   25.43% 22.45% 20.47% 17.92% 7.94% 12.01% 18.83% 27.77% 19.93% 17.40% 10.31%
Avg Days To Max Decline   15 12 17 15 12 15 21 22 15 10 8
Avg Max Increase   -1.63% -1.69% -1.52% -1.95% -2.61% -2.67% -3.25% -4.72% -2.67% -2.30% -1.10%
Max Increase   -6.50% -6.05% -3.85% -6.44% -9.03% -5.91% -19.29% -27.18% -18.45% -8.17% -3.60%
Avg Days to Max Increase   7 7 6 12 11 9 12 10 5 6 2
2016 Contract Condition   Yes Yes Yes   Yes Yes     Yes Yes Yes
Action   Yes Yes Yes   Yes Yes     Yes Yes Not Yet
High 409.25 413.25 403.00 396.25 386.75 387.50 382.50 406.50 414.75 444.00 373.00 334.75
Low 380.00 392.25 379.50 374.00 366.00 367.00 356.75 355.75 370.00 360.25 326.75 301.00
Close/Last 404.00 401.50 387.25 375.25 386.00 367.25 360.50 391.75 406.75 365.50 334.50 301.50

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