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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, 2019
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   32 41 43 43 44 44 44 44 44 44 44
Closed Higher   11 22 26 19 21 17 17 17 26 21 22
Exceeded High   7 19 19 14 13 15 11 14 18 17 12
Scenario Percentage   64% 86% 73% 74% 62% 88% 65% 82% 69% 81% 55%
Avg Max Increase   8.38% 9.05% 7.48% 7.04% 13.25% 11.48% 9.74% 9.99% 21.30% 16.86% 9.46%
Max Increase   14.97% 33.88% 20.81% 16.97% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 16.44%
Avg Days To Max Increase   17 13 14 14 14 12 13 13 17 11 9
Avg Max Decline   -3.34% -2.05% -2.09% -1.58% -1.16% -1.76% -2.15% -2.73% -4.28% -3.59% -1.36%
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 5 9 9 6 9 7 8 12 6 2
2018 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes Yes
Action     Yes Yes No   Yes Yes   Yes 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   32 41 43 43 44 44 44 44 44 44 44
Closed Lower   20 19 17 24 23 26 27 27 18 23 22
Penetrated Low   11 13 10 19 17 23 21 16 15 14 10
Scenario Percentage   55% 68% 59% 79% 74% 88% 78% 59% 83% 61% 45%
Avg Max Decline   9.43% 9.24% 8.58% 8.56% 9.09% 9.02% 9.64% 12.08% 10.45% 10.16% 5.89%
Max Decline   35.68% 34.36% 20.04% 16.86% 22.08% 20.60% 19.93% 24.67% 21.82% 27.68% 11.89%
Avg Days To Max Decline   21 19 14 19 18 16 18 20 20 8 7
Avg Max Increase   -2.34% -4.01% -2.35% -2.62% -2.05% -2.12% -2.37% -3.73% -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   12 15 10 15 7 5 8 12 16 6 2
2018 Contract Condition   Yes       Yes     Yes      
Action   No       Yes     Yes      
High 293.25 286.75 255.50 281.50 300.50 273.75 270.25 276.00 276.25 247.00 254.00 255.25
Low 274.75 236.50 236.75 243.25 269.00 253.50 251.50 256.50 230.00 220.75 231.00 226.00
Close/Last 283.25 236.50 250.00 273.25 274.75 254.00 267.75 272.75 233.75 235.75 244.75 250.50

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