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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, 2019
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 16 23 25 26 26 18 21 16 16 21
Exceeded High   15 10 19 23 19 24 15 17 12 9 10
Scenario Percentage   60% 63% 83% 92% 73% 92% 83% 81% 75% 56% 48%
Avg Max Increase   6.97% 9.14% 8.87% 7.35% 6.34% 7.16% 10.12% 10.81% 15.11% 11.25% 4.54%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 29.59% 25.29% 56.06% 34.25% 18.52% 10.02%
Avg Days To Max Increase   21 16 18 21 13 14 15 14 14 11 7
Avg Max Decline   -1.81% -2.76% -1.54% -1.28% -2.99% -2.46% -3.45% -2.60% -0.37% -1.04% -0.89%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.47% -3.01% -2.19%
Avg Days to Max Decline   8 10 6 8 9 12 13 8 3 3 2
2018 Contract Condition         Yes Yes Yes Yes     Yes  
Action         Yes Yes Yes Yes     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   19 29 21 20 19 19 27 24 29 29 24
Penetrated Low   16 21 16 20 14 19 25 22 25 24 11
Scenario Percentage   84% 72% 76% 100% 74% 100% 93% 92% 86% 83% 46%
Avg Max Decline   5.80% 6.26% 5.31% 5.77% 4.52% 6.38% 8.94% 11.24% 13.16% 7.74% 4.53%
Max Decline   25.43% 22.45% 20.47% 17.92% 7.94% 12.01% 18.83% 27.77% 19.93% 17.40% 9.04%
Avg Days To Max Decline   15 12 16 17 13 15 21 21 15 11 7
Avg Max Increase   -1.61% -1.59% -1.48% -2.02% -2.77% -2.63% -3.49% -4.74% -2.59% -2.07% -1.06%
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 13 12 9 13 10 5 5 2
2018 Contract Condition   Yes Yes Yes         Yes Yes   Yes
Action   Yes Yes Yes         Yes Yes   Not Yet
High 394.25 391.75 387.50 382.75 385.25 396.75 407.00 410.50 420.75 406.00 374.25 373.75
Low 379.00 380.25 372.25 370.50 369.75 379.25 384.00 387.75 400.00 348.25 337.25 340.25
Close/Last 390.00 382.75 378.50 374.75 384.50 395.00 403.25 407.50 403.25 359.50 372.25 351.00

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