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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   32 37 37 39 39 39 39 39 39 39 39
Closed Higher   13 19 17 22 22 17 18 15 15 18 19
Exceeded High   10 14 11 20 14 8 11 13 11 14 13
Scenario Percentage   77% 74% 65% 91% 64% 47% 61% 87% 73% 78% 68%
Avg Max Increase   12.97% 9.27% 9.56% 10.80% 9.53% 7.06% 11.36% 11.82% 11.38% 9.40% 8.89%
Max Increase   24.52% 21.14% 21.88% 36.29% 20.50% 14.90% 39.34% 33.21% 27.04% 23.85% 19.33%
Avg Days To Max Increase   13 18 19 15 16 10 11 16 18 12 8
Avg Max Decline   0.04% -4.27% -4.30% -2.27% -1.17% -2.05% -1.52% -2.41% -4.26% -3.21% -1.68%
Max Decline   -2.19% -7.41% -13.02% -10.00% -8.42% -6.85% -5.90% -8.72% -10.28% -10.41% -6.88%
Avg Days to Max Decline   4 10 13 6 6 4 6 8 20 6 2
2013 Contract Condition   Yes Yes Yes   Yes     Yes Yes Yes Yes
Action   Yes No Yes   Yes     Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   32 37 37 39 39 39 39 39 39 39 39
Closed Lower   19 18 20 17 16 21 21 23 24 20 20
Penetrated Low   16 12 10 14 13 16 14 20 18 12 9
Scenario Percentage   84% 67% 50% 82% 81% 76% 67% 87% 75% 60% 45%
Avg Max Decline   9.04% 8.53% 9.59% 9.68% 8.58% 9.25% 9.32% 10.04% 10.73% 11.52% 6.17%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 11.85%
Avg Days To Max Decline   15 18 20 22 16 17 21 18 19 17 9
Avg Max Increase   -1.69% -2.71% -3.79% -4.09% -3.37% -2.72% -3.66% -2.40% -2.87% -3.54% -1.00%
Max Increase   -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -2.80%
Avg Days to Max Increase   4 9 7 14 10 15 12 7 7 8 3
2013 Contract Condition         Yes   Yes Yes        
Action         Yes   Yes Yes        
High 356.00 352.75 399.00 397.50 398.00 401.25 398.00 404.00 376.25 393.50 414.75 431.00
Low 290.25 286.25 351.25 373.00 371.00 367.25 364.50 351.75 335.00 358.25 370.50 355.00
Close/Last 290.25 351.25 389.50 396.00 377.25 398.00 382.75 354.50 367.00 377.25 396.25 415.50

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