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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   27 36 38 38 39 39 39 39 39 39 39
Closed Higher   10 20 22 16 19 14 14 16 22 18 18
Exceeded High   6 17 15 12 11 12 10 13 15 14 9
Scenario Percentage   60% 85% 68% 75% 58% 86% 71% 81% 68% 78% 50%
Avg Max Increase   9.14% 8.86% 7.11% 5.70% 11.06% 10.52% 10.58% 9.64% 22.26% 17.60% 9.44%
Max Increase   14.97% 33.88% 20.81% 16.97% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 16.07%
Avg Days To Max Increase   16 13 14 12 13 12 14 13 14 11 8
Avg Max Decline   -3.31% -1.75% -2.54% -1.75% -0.91% -1.83% -2.00% -2.70% -4.19% -2.68% -0.90%
Max Decline   -8.81% -5.37% -11.62% -6.45% -6.35% -4.30% -11.43% -7.63% -24.10% -7.86% -7.66%
Avg Days to Max Decline   8 6 11 7 6 9 8 8 9 4 2
2013 Contract Condition   Yes   Yes     Yes   Yes Yes   Yes
Action   No   Yes     Yes   No 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   27 36 38 38 39 39 39 39 39 39 39
Closed Lower   16 16 16 22 20 24 25 23 17 21 21
Penetrated Low   8 12 10 17 14 21 19 12 15 14 10
Scenario Percentage   50% 75% 63% 77% 70% 88% 76% 52% 88% 67% 48%
Avg Max Decline   10.30% 9.92% 8.58% 8.18% 8.99% 8.87% 9.36% 13.32% 10.45% 10.16% 5.89%
Max Decline   35.68% 34.36% 20.04% 16.86% 22.08% 20.60% 17.14% 24.67% 21.82% 27.68% 11.89%
Avg Days To Max Decline   25 20 14 19 18 16 18 21 20 8 7
Avg Max Increase   -2.69% -4.21% -2.35% -2.52% -2.36% -2.19% -2.45% -3.66% -5.50% -3.92% -2.11%
Max Increase   -7.04% -9.40% -6.10% -7.40% -9.29% -8.50% -9.83% -9.12% -14.18% -11.57% -13.04%
Avg Days to Max Increase   14 16 10 16 7 5 9 13 16 6 2
2013 Contract Condition     Yes   Yes Yes   Yes     Yes  
Action     Yes   Yes Yes   Yes     Not Yet  
High 401.00 398.75 398.75 398.25 397.50 399.25 378.00 387.00 407.75 400.00 394.50 413.00
Low 353.25 372.25 369.00 365.50 364.50 355.25 340.25 356.00 369.25 348.00 351.25 372.00
Close/Last 387.50 398.75 375.50 397.50 382.25 357.75 372.00 371.25 391.25 391.75 374.25 401.25

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