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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Oats(CBOT) as of Dec 30, 2016
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   30 39 41 41 42 42 42 42 42 42 42
Closed Higher   11 21 24 17 20 15 15 17 24 19 20
Exceeded High   7 18 17 13 12 13 10 14 16 15 10
Scenario Percentage   64% 86% 71% 76% 60% 87% 67% 82% 67% 79% 50%
Avg Max Increase   8.38% 8.43% 7.14% 6.44% 13.33% 12.28% 10.58% 9.99% 21.33% 18.28% 11.45%
Max Increase   14.97% 33.88% 20.81% 16.97% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 21.92%
Avg Days To Max Increase   17 13 14 13 14 13 14 13 15 11 9
Avg Max Decline   -3.34% -2.02% -2.27% -1.68% -1.07% -1.79% -2.00% -2.73% -4.52% -3.29% -0.81%
Max Decline   -8.81% -6.49% -11.62% -6.45% -6.35% -4.30% -11.43% -7.63% -24.10% -11.86% -7.66%
Avg Days to Max Decline   11 6 10 9 5 9 8 8 10 5 2
2016 Contract Condition     Yes           Yes Yes   Yes
Action     Yes           Yes No   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   30 39 41 41 42 42 42 42 42 42 42
Closed Lower   18 18 17 24 22 26 27 25 18 23 22
Penetrated Low   10 13 10 19 16 23 21 14 15 14 10
Scenario Percentage   56% 72% 59% 79% 73% 88% 78% 56% 83% 61% 45%
Avg Max Decline   10.00% 9.24% 8.58% 8.56% 9.60% 9.02% 9.64% 13.17% 10.45% 10.32% 6.16%
Max Decline   35.68% 34.36% 20.04% 16.86% 22.08% 20.60% 19.93% 24.67% 21.82% 29.28% 13.84%
Avg Days To Max Decline   21 19 14 19 19 16 18 21 20 8 7
Avg Max Increase   -2.32% -4.01% -2.35% -2.62% -2.05% -2.12% -2.37% -3.80% -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 15 7 5 8 12 16 6 2
2016 Contract Condition   Yes   Yes Yes Yes Yes Yes     Yes  
Action   Yes   No Yes Yes Yes Yes     Not Yet  
High 290.50 263.00 240.25 241.75 237.50 241.25 220.00 215.25 209.00 224.75 208.75 222.50
Low 256.50 227.75 229.00 223.25 225.00 223.50 201.00 189.25 183.75 190.25 185.50 186.75
Close/Last 266.50 236.25 238.75 234.75 230.50 223.50 215.00 191.50 196.25 205.75 189.00 205.25

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