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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, 2018
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 24 26 26 18 22 16 16 21
Exceeded High   15 11 19 22 19 24 15 18 12 10 10
Scenario Percentage   60% 65% 79% 92% 73% 92% 83% 82% 75% 63% 48%
Avg Max Increase   6.97% 9.33% 8.87% 7.42% 6.71% 8.69% 12.71% 12.41% 15.11% 12.36% 4.69%
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   21 15 18 21 13 14 14 15 14 11 7
Avg Max Decline   -1.81% -2.48% -1.54% -1.28% -2.88% -2.26% -3.35% -2.76% -0.37% -1.59% -0.89%
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 9 3 3 2
2017 Contract Condition   Yes   Yes Yes Yes     Yes Yes    
Action   No   Yes Yes 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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 28 20 21 19 19 27 23 29 29 24
Penetrated Low   15 20 15 21 14 19 25 21 24 24 13
Scenario Percentage   79% 71% 75% 100% 74% 100% 93% 91% 83% 83% 54%
Avg Max Decline   5.97% 6.46% 5.57% 5.65% 4.52% 6.38% 8.94% 10.99% 13.45% 7.88% 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 16 13 15 21 21 15 11 8
Avg Max Increase   -1.63% -1.62% -1.52% -1.99% -2.77% -2.63% -3.49% -4.93% -2.67% -2.26% -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 12 9 13 11 5 6 2
2017 Contract Condition     Yes       Yes Yes     Yes Yes
Action     Yes       Yes Yes     Yes Not Yet
High 373.75 388.00 385.75 384.50 390.25 398.75 395.50 386.50 386.00 399.25 404.75 375.50
Low 349.00 365.25 365.50 365.00 371.25 378.75 369.50 368.25 372.00 364.50 366.00 328.50
Close/Last 367.00 382.50 370.75 371.25 380.50 387.25 379.25 374.25 380.00 381.00 370.75 342.25

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