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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Oats(CBOT) as of Oct 20, 2019
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   38 43 43 44 44 45 45 45 45 45 45
Closed Higher   18 13 16 20 21 23 27 19 20 19 17
Exceeded High   12 11 12 15 14 20 17 12 12 13 13
Scenario Percentage   67% 85% 75% 75% 67% 87% 63% 63% 60% 68% 76%
Avg Max Increase   16.69% 20.32% 13.05% 11.31% 11.05% 12.97% 12.00% 8.40% 16.22% 15.44% 6.15%
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 16 14 18 15 15 15 9 15 9 9
Avg Max Decline   -1.70% -2.50% -0.17% -4.52% -2.84% -2.62% -1.53% -1.78% -2.01% -1.23% -1.11%
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 4 5 8 9 6 7 3 8 3 3
2019 Contract Condition         Yes Yes Yes Yes Yes   Yes  
Action         Yes Yes Yes Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   38 43 43 44 44 45 45 45 45 45 45
Closed Lower   18 30 27 24 23 21 18 26 24 25 27
Penetrated Low   17 26 23 17 15 16 11 19 18 19 10
Scenario Percentage   94% 87% 85% 71% 65% 76% 61% 73% 75% 76% 37%
Avg Max Decline   7.62% 10.43% 9.97% 9.74% 8.19% 9.01% 9.76% 9.81% 9.74% 10.47% 5.93%
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 22 18 22 17 21 14 15 18 14 8
Avg Max Increase   -2.90% -4.01% -2.68% -3.34% -3.58% -5.40% -3.69% -3.44% -4.05% -2.14% -1.49%
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 9 8 14 9 13 10 4 1
2019 Contract Condition     Yes Yes           Yes   Yes
Action     Yes Yes           Yes   Not Yet
High 269.75 266.75 264.50 254.00 251.00 281.50 267.00 293.75 317.50 298.25 303.50 294.50
Low 254.75 249.50 253.00 240.00 239.00 251.00 242.00 267.25 274.50 271.25 273.75 250.50
Close/Last 256.75 256.75 254.25 249.25 250.00 257.00 265.50 272.75 292.25 275.25 282.50 252.00

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