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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, 2018
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 26 25 21 22 17 16 21 18 20 16
Exceeded High   23 19 21 19 19 13 12 12 16 12 5
Scenario Percentage   96% 73% 84% 90% 86% 76% 75% 57% 89% 60% 31%
Avg Max Increase   6.66% 7.27% 8.86% 14.56% 12.17% 13.36% 13.23% 8.79% 12.32% 7.17% 3.77%
Max Increase   19.16% 15.57% 37.39% 62.47% 50.71% 37.37% 29.99% 33.86% 44.00% 17.85% 9.75%
Avg Days To Max Increase   20 12 16 16 12 12 17 14 17 12 7
Avg Max Decline   -1.51% -2.88% -1.93% -3.65% -2.73% -0.56% -2.95% -3.45% -3.22% -2.07% -0.81%
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   12 8 14 12 7 4 7 14 9 3 2
2017 Contract Condition   Yes Yes     Yes Yes          
Action   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 19 20 24 23 28 29 24 27 24 29
Penetrated Low   20 15 19 23 21 24 24 16 23 22 19
Scenario Percentage   95% 79% 95% 96% 91% 86% 83% 67% 85% 92% 66%
Avg Max Decline   5.15% 4.87% 6.21% 8.43% 10.13% 11.55% 8.10% 8.45% 7.89% 7.42% 4.30%
Max Decline   17.02% 7.90% 12.32% 18.00% 24.31% 17.55% 20.08% 37.78% 30.97% 27.77% 17.02%
Avg Days To Max Decline   17 15 16 21 22 17 17 15 20 11 8
Avg Max Increase   -2.03% -2.56% -3.20% -3.47% -5.26% -2.44% -3.11% -1.25% -2.23% -1.76% -1.09%
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   9 13 11 11 12 6 11 4 10 5 2
2017 Contract Condition       Yes Yes     Yes Yes Yes Yes Yes
Action       No Yes     Yes Yes Yes Yes Yes
High 393.00 396.75 404.00 401.50 395.75 395.75 409.00 417.25 389.00 362.00 356.25 352.00
Low 374.50 380.25 385.75 378.25 379.25 382.00 374.00 379.25 344.25 345.50 342.50 335.50
Close/Last 380.00 387.25 393.75 388.25 385.00 391.00 392.00 384.75 357.75 355.25 345.75 341.75

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