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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Corn(CBOT) as of Jun 08, 2020
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 25 25 21 22 16 15 21 17 22 16
Exceeded High   23 19 21 19 19 12 10 12 15 13 4
Scenario Percentage   92% 76% 84% 90% 86% 75% 67% 57% 88% 59% 25%
Avg Max Increase   6.04% 6.74% 7.29% 12.77% 10.60% 11.36% 12.73% 8.79% 12.42% 6.30% 3.20%
Max Increase   17.52% 15.57% 20.11% 62.47% 50.71% 33.75% 29.99% 33.86% 44.00% 17.85% 6.05%
Avg Days To Max Increase   20 12 16 17 12 11 16 14 18 12 6
Avg Max Decline   -1.51% -3.01% -2.13% -3.69% -2.72% -0.69% -1.99% -3.45% -2.82% -1.91% -0.81%
Max Decline   -7.86% -10.22% -10.38% -8.15% -6.10% -5.65% -7.19% -11.79% -10.19% -7.38% -1.33%
Avg Days to Max Decline   12 9 14 12 6 4 5 14 8 3 2
2019 Contract Condition   Yes       Yes       Yes Yes  
Action   No       Yes       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 20 20 24 23 29 30 24 28 22 29
Penetrated Low   19 16 19 23 22 26 25 16 23 21 18
Scenario Percentage   95% 80% 95% 96% 96% 90% 83% 67% 82% 95% 62%
Avg Max Decline   5.33% 4.89% 5.85% 8.15% 10.37% 11.48% 8.34% 8.02% 7.89% 7.03% 3.90%
Max Decline   17.02% 7.90% 10.56% 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 17 17 16 20 10 7
Avg Max Increase   -2.14% -2.57% -3.04% -3.56% -5.05% -2.58% -3.13% -1.25% -2.23% -1.73% -1.08%
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 14 10 12 12 6 11 4 10 5 2
2019 Contract Condition     Yes Yes Yes   Yes Yes Yes     Yes
Action     Yes Yes Yes   Yes Yes Yes     Yes
High 405.50 406.00 404.25 402.50 393.50 454.00 473.00 464.75 424.50 388.25 402.50 391.75
Low 394.50 396.25 391.25 384.25 371.75 363.75 425.00 409.50 364.25 352.25 378.25 362.25
Close/Last 397.50 400.00 392.00 384.75 381.00 443.75 431.50 410.00 369.75 388.00 390.00 371.25

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