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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, 2019
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   37 42 42 44 44 44 44 44 44 44 44
Closed Higher   15 19 19 23 26 18 20 18 18 19 23
Exceeded High   11 14 12 21 17 9 13 16 12 15 14
Scenario Percentage   73% 74% 63% 91% 65% 50% 65% 89% 67% 79% 61%
Avg Max Increase   12.11% 9.27% 9.46% 11.05% 9.56% 8.77% 14.77% 12.97% 11.19% 9.86% 8.75%
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   12 18 19 15 16 12 12 15 16 13 8
Avg Max Decline   0.21% -4.27% -4.20% -2.26% -1.15% -1.93% -1.64% -2.01% -3.95% -3.16% -1.52%
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 5 4 6 7 18 6 2
2018 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 42 42 44 44 44 44 44 44 44 44
Closed Lower   22 23 23 21 17 25 24 25 26 24 21
Penetrated Low   19 16 13 17 14 19 16 22 20 15 9
Scenario Percentage   86% 70% 57% 81% 82% 76% 67% 88% 77% 63% 43%
Avg Max Decline   8.98% 9.46% 8.32% 8.60% 8.30% 9.71% 10.05% 10.21% 11.01% 10.92% 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 18 21 17 17 21 17 18 18 9
Avg Max Increase   -1.57% -2.57% -3.40% -4.18% -3.53% -2.86% -3.25% -2.37% -2.77% -3.60% -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 11 14 11 6 7 8 3
2018 Contract Condition     Yes Yes     Yes Yes     Yes  
Action     Yes Yes     Yes No     Yes  
High 230.50 285.00 295.00 288.50 259.00 282.25 295.00 274.00 269.75 279.00 276.00 241.00
Low 221.75 226.50 272.75 241.75 237.75 249.00 262.00 245.75 246.00 257.25 221.50 215.00
Close/Last 226.50 285.00 284.50 241.75 254.25 273.00 269.50 247.00 265.75 270.25 225.00 225.50

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