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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, 2015
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   28 37 39 39 40 40 40 40 40 40 40
Closed Higher   10 20 23 17 20 15 15 16 23 19 18
Exceeded High   6 17 16 13 12 13 10 13 16 15 9
Scenario Percentage   60% 85% 70% 76% 60% 87% 67% 81% 70% 79% 50%
Avg Max Increase   9.14% 8.86% 7.21% 6.44% 13.33% 12.28% 10.58% 9.64% 21.33% 18.28% 10.29%
Max Increase   14.97% 33.88% 20.81% 16.97% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 19.05%
Avg Days To Max Increase   16 13 14 13 14 13 14 13 15 11 9
Avg Max Decline   -3.31% -1.75% -2.41% -1.68% -1.07% -1.79% -2.00% -2.70% -4.52% -3.29% -0.90%
Max Decline   -8.81% -5.37% -11.62% -6.45% -6.35% -4.30% -11.43% -7.63% -24.10% -11.86% -7.66%
Avg Days to Max Decline   8 6 10 9 5 9 8 8 10 5 2
2014 Contract Condition       Yes Yes Yes Yes Yes   Yes Yes  
Action       Yes Yes Yes Yes No   Yes Yes  
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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   28 37 39 39 40 40 40 40 40 40 40
Closed Lower   17 17 16 22 20 24 25 24 17 21 22
Penetrated Low   9 13 10 17 14 21 19 13 15 14 10
Scenario Percentage   53% 76% 63% 77% 70% 88% 76% 54% 88% 67% 45%
Avg Max Decline   10.50% 9.24% 8.58% 8.18% 8.99% 8.87% 9.36% 12.92% 10.45% 10.32% 6.16%
Max Decline   35.68% 34.36% 20.04% 16.86% 22.08% 20.60% 17.14% 24.67% 21.82% 29.28% 13.84%
Avg Days To Max Decline   23 19 14 19 18 16 18 21 20 8 7
Avg Max Increase   -2.39% -4.01% -2.35% -2.52% -2.36% -2.19% -2.45% -3.84% -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   13 15 10 16 7 5 9 13 16 6 2
2014 Contract Condition   Yes Yes           Yes     Yes
Action   Yes Yes           Yes     Not Yet
High 375.00 348.75 335.25 320.25 320.50 333.00 361.75 442.75 424.00 376.50 374.50 387.00
Low 333.50 324.75 297.75 294.50 305.00 312.75 311.00 327.50 348.00 342.00 326.50 327.00
Close/Last 341.25 335.25 297.75 306.25 313.75 320.00 331.75 403.25 355.50 360.50 371.00 338.00

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