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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Oats(CBOT) as of Oct 20, 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   33 42 44 44 45 45 45 45 45 45 45
Closed Higher   12 23 27 20 21 18 17 18 27 22 22
Exceeded High   8 20 20 14 13 15 11 15 19 17 12
Scenario Percentage   67% 87% 74% 70% 62% 83% 65% 83% 70% 77% 55%
Avg Max Increase   8.77% 9.17% 7.63% 7.04% 13.25% 11.48% 9.74% 10.73% 20.85% 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   18 13 14 14 14 12 13 14 17 11 9
Avg Max Decline   -3.40% -2.01% -1.97% -1.58% -1.16% -1.76% -2.15% -2.66% -4.50% -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 10 12 6 2
2019 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes Yes  
Action   Yes Yes Yes No   No   Yes 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   33 42 44 44 45 45 45 45 45 45 45
Closed Lower   20 19 17 24 24 26 28 27 18 23 23
Penetrated Low   11 13 10 19 18 23 22 16 15 14 10
Scenario Percentage   55% 68% 59% 79% 75% 88% 79% 59% 83% 61% 43%
Avg Max Decline   9.43% 9.24% 8.58% 8.56% 8.93% 9.02% 9.27% 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 19 16 18 20 20 8 7
Avg Max Increase   -2.34% -4.01% -2.35% -2.62% -2.22% -2.12% -2.49% -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 8 5 8 12 16 6 2
2019 Contract Condition           Yes   Yes       Yes
Action           Yes   Yes       Not Yet
High 256.00 283.75 273.25 293.00 304.50 292.75 293.75 292.50 280.75 301.50 325.00 319.00
Low 247.25 258.25 252.75 270.25 276.50 278.50 275.00 262.25 260.50 269.75 264.00 268.00
Close/Last 256.00 262.75 273.25 275.50 287.00 279.75 283.75 264.00 268.50 288.25 314.50 273.00

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