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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of Oct 06, 2023
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 20 21 24 29 19 20 20 17 21 23
Exceeded High   12 15 15 23 20 8 13 16 12 16 13
Scenario Percentage   71% 75% 71% 96% 69% 42% 65% 80% 71% 76% 57%
Avg Max Increase   13.65% 10.49% 11.64% 12.92% 10.41% 9.32% 14.24% 13.46% 11.99% 10.52% 8.42%
Max Increase   30.55% 28.52% 38.40% 36.29% 20.56% 22.42% 53.11% 39.65% 27.04% 23.85% 17.78%
Avg Days To Max Increase   13 18 20 17 18 13 12 15 17 14 6
Avg Max Decline   -0.25% -4.00% -3.94% -1.68% -1.03% -2.20% -2.04% -2.40% -3.32% -2.68% -0.97%
Max Decline   -5.25% -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 5 6 5 8 8 16 6 1
2023 Contract Condition           Yes     Yes   Yes  
Action           No     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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 25 24 21 15 25 25 24 28 23 22
Penetrated Low   22 17 13 17 12 20 17 21 22 15 8
Scenario Percentage   88% 68% 54% 81% 80% 80% 68% 88% 79% 65% 36%
Avg Max Decline   9.08% 9.63% 8.48% 8.60% 7.58% 8.88% 8.99% 9.58% 10.78% 10.84% 5.38%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 17.68% 22.35% 20.81% 21.46% 25.88% 8.47%
Avg Days To Max Decline   17 18 20 22 17 15 21 17 19 18 6
Avg Max Increase   -1.51% -2.00% -3.08% -4.07% -3.20% -2.73% -3.75% -2.26% -3.38% -3.60% -1.44%
Max Increase   -9.75% -9.55% -7.35% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -5.11%
Avg Days to Max Increase   4 8 8 14 10 13 11 6 8 8 3
2023 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes   Yes
Action   Yes Yes Yes Yes   Yes No   Yes   Yes
High 625.25 625.50 484.50 432.25 423.00 411.25 404.25 378.50 390.25 390.25 385.75 368.75
Low 553.00 484.75 408.75 385.00 375.50 370.00 380.00 325.00 333.25 333.50 319.00 298.50
Close/Last 619.75 487.75 433.25 402.75 394.50 398.50 385.00 364.00 387.25 335.00 364.25 302.00

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