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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, 2019
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   25 26 25 21 21 17 16 21 17 21 16
Exceeded High   24 19 21 19 18 13 11 12 15 13 5
Scenario Percentage   96% 73% 84% 90% 86% 76% 69% 57% 88% 62% 31%
Avg Max Increase   6.58% 6.74% 7.29% 12.77% 10.82% 13.36% 12.08% 8.79% 12.38% 6.77% 3.30%
Max Increase   19.16% 15.57% 20.11% 62.47% 50.71% 37.37% 29.99% 33.86% 44.00% 17.85% 8.52%
Avg Days To Max Increase   20 12 16 17 11 12 17 14 17 11 7
Avg Max Decline   -1.50% -3.01% -2.13% -3.69% -2.63% -0.56% -2.92% -3.45% -2.82% -1.91% -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 9 14 12 6 4 7 14 7 3 2
2018 Contract Condition   Yes Yes Yes Yes     Yes     Yes Yes
Action   Yes Yes Yes Yes     No     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 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   20 19 20 24 24 28 29 24 28 23 29
Penetrated Low   19 15 19 23 22 25 24 16 23 22 18
Scenario Percentage   95% 79% 95% 96% 92% 89% 83% 67% 82% 96% 62%
Avg Max Decline   5.33% 4.87% 6.21% 8.43% 10.37% 11.32% 8.10% 8.09% 7.89% 7.37% 4.19%
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   18 15 16 21 22 16 17 16 20 10 8
Avg Max Increase   -2.14% -2.56% -3.20% -3.47% -5.05% -2.38% -3.11% -1.33% -2.23% -1.76% -1.07%
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
2018 Contract Condition           Yes Yes   Yes Yes    
Action           Yes Yes   Yes No    
High 391.00 394.00 403.25 412.00 418.50 429.50 417.00 388.50 388.00 369.75 378.50 379.00
Low 379.25 379.75 387.75 391.50 396.00 410.50 360.00 350.25 355.25 342.50 356.50 355.25
Close/Last 384.00 393.25 401.50 411.50 416.00 413.75 371.25 386.50 365.00 356.25 363.25 366.50

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