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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, 2016
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   34 39 39 41 41 41 41 41 41 41 41
Closed Higher   13 19 19 22 24 18 19 16 16 18 20
Exceeded High   10 14 12 20 15 9 12 14 12 14 13
Scenario Percentage   77% 74% 63% 91% 63% 50% 63% 88% 75% 78% 65%
Avg Max Increase   12.97% 9.27% 9.46% 10.80% 9.49% 8.77% 14.84% 13.81% 11.19% 9.40% 8.89%
Max Increase   24.52% 21.14% 21.88% 36.29% 20.50% 22.42% 53.11% 39.65% 27.04% 23.85% 19.33%
Avg Days To Max Increase   13 18 19 15 16 12 12 15 16 12 8
Avg Max Decline   0.04% -4.27% -4.20% -2.27% -1.19% -1.93% -1.64% -2.34% -3.95% -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 14 6 6 4 6 8 18 6 2
2015 Contract Condition       Yes   Yes            
Action       Yes   No            
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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   34 39 39 41 41 41 41 41 41 41 41
Closed Lower   21 20 20 19 16 22 22 24 25 22 21
Penetrated Low   18 13 10 16 13 17 15 21 19 13 9
Scenario Percentage   86% 65% 50% 84% 81% 77% 68% 88% 76% 59% 43%
Avg Max Decline   8.82% 8.64% 9.59% 8.75% 8.58% 9.46% 9.55% 9.86% 11.24% 11.90% 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   16 19 20 22 16 18 21 18 19 18 9
Avg Max Increase   -1.69% -2.98% -3.79% -4.29% -3.37% -2.75% -3.50% -2.46% -2.92% -3.57% -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 11 7 14 10 15 11 7 7 8 3
2015 Contract Condition   Yes Yes   Yes   Yes Yes Yes Yes Yes Yes
Action   Yes No   Yes   Yes Yes Yes Yes Yes Not Yet
High 329.25 328.75 328.00 331.25 329.50 347.50 345.00 320.75 308.00 290.00 288.75 275.00
Low 314.50 313.25 304.75 306.00 310.75 314.25 305.00 303.75 271.00 265.50 262.50 221.25
Close/Last 321.50 317.50 309.00 320.75 316.50 326.00 310.75 304.00 280.00 278.25 264.75 239.75

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