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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 24 25 22 22 18 17 24 17 20 19
Exceeded High   21 19 21 20 18 13 13 15 14 11 5
Scenario Percentage   95% 79% 84% 91% 82% 72% 76% 63% 82% 55% 26%
Avg Max Increase   7.07% 7.03% 8.80% 14.00% 12.55% 14.11% 13.50% 8.16% 13.38% 6.72% 6.03%
Max Increase   19.16% 15.57% 37.39% 62.47% 50.71% 37.37% 29.99% 33.86% 44.00% 17.85% 17.37%
Avg Days To Max Increase   21 13 16 16 12 12 17 14 18 13 7
Avg Max Decline   -1.58% -2.97% -1.89% -3.37% -2.72% -0.97% -2.79% -3.05% -3.58% -1.83% -0.20%
Max Decline   -7.86% -10.22% -10.38% -8.15% -6.10% -6.27% -12.19% -11.79% -10.19% -7.38% -1.33%
Avg Days to Max Decline   13 9 14 12 6 6 6 13 9 3 2
2013 Contract Condition         Yes Yes     Yes      
Action         Yes Yes     No      
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 20 23 23 27 28 21 28 24 26
Penetrated Low   21 16 18 22 20 22 22 15 22 21 16
Scenario Percentage   100% 76% 90% 96% 87% 81% 79% 71% 79% 88% 62%
Avg Max Decline   5.25% 5.08% 6.30% 8.60% 9.71% 11.19% 7.83% 8.24% 8.16% 7.17% 4.04%
Max Decline   17.02% 10.02% 12.32% 18.00% 24.31% 17.55% 20.08% 37.78% 30.97% 27.77% 17.02%
Avg Days To Max Decline   17 16 16 21 23 16 16 16 20 11 7
Avg Max Increase   -1.78% -2.40% -3.36% -3.31% -5.27% -2.57% -2.94% -1.40% -2.46% -1.96% -1.10%
Max Increase   -6.33% -7.38% -7.08% -19.34% -27.57% -17.80% -11.02% -4.37% -5.13% -5.11% -3.20%
Avg Days to Max Increase   11 12 12 10 13 6 10 4 10 5 2
2013 Contract Condition   Yes Yes Yes     Yes Yes   Yes Yes Yes
Action   Yes Yes Yes     Yes Yes   Yes Yes Yes
High 647.00 605.00 596.50 578.50 570.00 573.00 573.50 528.25 508.25 493.75 449.75 438.00
Low 594.25 570.00 547.00 535.75 517.00 512.00 510.00 471.25 445.75 440.75 427.00 410.75
Close/Last 599.75 591.00 557.00 538.50 556.75 567.25 511.00 479.00 482.00 441.50 428.25 415.25

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