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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Oats(CBOT) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 40 40 41 41 42 42 42 42 42 42
Closed Higher   17 12 15 18 20 21 24 18 19 16 16
Exceeded High   12 10 11 14 13 18 14 12 11 11 12
Scenario Percentage   71% 83% 73% 78% 65% 86% 58% 67% 58% 69% 75%
Avg Max Increase   16.69% 19.08% 13.71% 11.22% 10.80% 12.60% 12.11% 8.40% 16.10% 16.72% 6.23%
Max Increase   106.02% 87.15% 23.03% 27.66% 29.72% 38.56% 22.99% 28.96% 50.46% 38.94% 14.74%
Avg Days To Max Increase   16 17 15 18 15 15 15 9 14 9 9
Avg Max Decline   -1.70% -2.75% -0.27% -4.87% -2.61% -2.83% -1.67% -1.78% -2.06% -1.48% -1.14%
Max Decline   -7.25% -8.45% -3.13% -8.31% -9.36% -8.31% -8.64% -6.60% -6.47% -6.73% -9.11%
Avg Days to Max Decline   11 5 5 8 8 6 9 3 7 3 3
2016 Contract Condition       Yes     Yes   Yes      
Action       No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 40 40 41 41 42 42 42 42 42 42
Closed Lower   17 28 25 23 21 20 18 24 22 25 25
Penetrated Low   16 24 21 16 13 16 11 18 16 19 9
Scenario Percentage   94% 86% 84% 70% 62% 80% 61% 75% 73% 76% 36%
Avg Max Decline   7.95% 10.61% 10.15% 9.73% 8.96% 9.01% 9.76% 9.84% 10.34% 10.47% 6.20%
Max Decline   15.94% 26.25% 24.78% 20.59% 37.94% 37.88% 21.66% 21.81% 22.86% 21.25% 19.23%
Avg Days To Max Decline   17 21 17 22 18 21 14 16 18 14 8
Avg Max Increase   -2.96% -4.00% -2.86% -3.45% -3.85% -5.40% -3.69% -3.50% -3.87% -2.14% -1.38%
Max Increase   -10.50% -15.38% -10.14% -10.30% -9.78% -11.80% -8.44% -8.41% -11.43% -6.30% -3.57%
Avg Days to Max Increase   13 10 6 10 9 14 9 14 10 4 1
2016 Contract Condition   Yes Yes   Yes Yes   Yes   Yes Yes Yes
Action   Yes Yes   Yes Yes   No   Yes Yes Yes
High 292.75 285.00 273.25 288.00 285.25 260.00 242.50 238.00 237.00 247.50 219.00 202.50
Low 280.50 260.50 254.00 255.75 248.00 216.00 219.75 215.00 219.00 216.00 192.50 167.25
Close/Last 281.25 266.00 255.75 285.25 260.75 229.75 230.00 229.25 232.50 217.25 200.75 169.25

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