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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, 2016
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 21 21 17 17 22 18 20 17
Exceeded High   21 19 22 18 18 12 13 13 15 12 6
Scenario Percentage   95% 76% 85% 86% 86% 71% 76% 59% 83% 60% 35%
Avg Max Increase   7.07% 7.27% 8.57% 14.61% 12.55% 13.94% 13.50% 8.89% 12.70% 7.17% 6.04%
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 12 16 16 12 12 17 14 17 12 8
Avg Max Decline   -1.58% -2.88% -1.86% -3.57% -2.72% -0.65% -2.79% -3.15% -3.41% -2.07% -0.30%
Max Decline   -7.86% -10.22% -10.38% -8.15% -6.10% -5.65% -12.19% -11.79% -10.19% -7.38% -1.33%
Avg Days to Max Decline   13 8 14 12 6 4 6 13 9 3 2
2015 Contract Condition     Yes       Yes     Yes    
Action     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 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 24 24 28 28 23 27 24 28
Penetrated Low   21 15 19 23 22 23 23 16 22 21 17
Scenario Percentage   95% 75% 100% 96% 92% 82% 82% 70% 81% 88% 61%
Avg Max Decline   5.27% 5.28% 6.44% 8.47% 9.82% 11.39% 8.23% 8.52% 7.99% 7.63% 4.59%
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   18 16 16 20 23 16 16 15 19 11 9
Avg Max Increase   -1.99% -2.48% -3.35% -3.22% -5.04% -2.45% -3.20% -1.36% -2.32% -1.76% -1.12%
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   10 12 12 10 12 6 10 4 10 5 2
2015 Contract Condition   Yes   Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes   Yes Yes Yes   Yes No   Yes Not Yet
High 440.00 432.00 421.75 421.25 414.00 388.75 432.25 454.25 402.00 395.00 399.75 383.50
Low 406.25 396.75 398.50 392.50 380.75 365.25 362.50 375.75 357.50 360.50 372.00 356.00
Close/Last 421.00 400.75 417.50 400.75 383.50 368.00 431.50 381.25 375.25 387.75 382.25 365.00

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