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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, 2015
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 25 26 22 21 17 17 23 17 20 18
Exceeded High   21 20 22 19 18 12 13 14 14 12 5
Scenario Percentage   95% 80% 85% 86% 86% 71% 76% 61% 82% 60% 28%
Avg Max Increase   7.07% 7.16% 8.57% 14.48% 12.55% 15.06% 13.50% 8.49% 13.38% 6.46% 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 13 17 14 18 13 7
Avg Max Decline   -1.58% -2.82% -1.86% -3.49% -2.72% -0.98% -2.79% -3.14% -3.58% -2.07% -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 8 14 12 6 6 6 12 9 3 2
2014 Contract Condition     Yes Yes Yes           Yes  
Action     Yes Yes No           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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 20 19 23 24 28 28 22 28 24 27
Penetrated Low   21 15 18 22 21 23 22 16 23 21 16
Scenario Percentage   95% 75% 95% 96% 88% 82% 79% 73% 82% 88% 59%
Avg Max Decline   5.25% 5.28% 6.30% 8.60% 10.21% 11.39% 8.32% 8.52% 7.84% 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 17 15 19 11 7
Avg Max Increase   -1.78% -2.48% -3.36% -3.31% -5.04% -2.45% -3.10% -1.36% -2.39% -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 12 6 10 4 10 5 2
2014 Contract Condition   Yes       Yes Yes Yes Yes Yes   Yes
Action   No       Yes Yes Yes Yes Yes   Not Yet
High 469.00 460.00 472.00 498.75 517.00 514.75 460.00 424.75 381.00 367.50 381.00 389.00
Low 447.25 435.00 449.50 471.25 487.50 456.50 423.50 364.25 358.00 319.50 318.25 359.00
Close/Last 450.25 450.00 471.50 498.25 509.25 457.50 425.25 367.00 364.75 320.75 376.75 375.75

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