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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 21, 2022
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   35 43 45 45 45 45 45 45 45 45 45
Closed Higher   13 24 29 21 22 18 17 18 27 22 23
Exceeded High   9 22 22 14 14 14 11 15 20 17 13
Scenario Percentage   69% 92% 76% 67% 64% 78% 65% 83% 74% 77% 57%
Avg Max Increase   8.71% 9.31% 7.90% 8.07% 12.78% 11.74% 11.09% 10.94% 19.50% 17.60% 10.67%
Max Increase   14.97% 33.88% 20.81% 19.12% 39.32% 33.53% 27.06% 22.68% 137.82% 115.34% 21.92%
Avg Days To Max Increase   19 14 16 14 14 13 15 13 16 10 9
Avg Max Decline   -3.25% -1.80% -1.82% -1.62% -1.36% -1.80% -2.19% -2.40% -4.32% -3.60% -1.37%
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   10 5 9 9 7 10 9 9 11 6 3
2021 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes   Yes
Action     Yes Yes Yes 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   35 43 45 45 45 45 45 45 45 45 45
Closed Lower   21 19 16 24 23 26 28 27 18 23 22
Penetrated Low   11 13 9 19 18 22 22 16 15 14 10
Scenario Percentage   52% 68% 56% 79% 78% 85% 79% 59% 83% 61% 45%
Avg Max Decline   9.43% 9.24% 8.55% 8.56% 8.15% 8.62% 9.37% 12.08% 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 13 19 19 17 18 20 20 8 7
Avg Max Increase   -2.34% -4.01% -1.93% -2.62% -2.46% -2.06% -2.63% -3.73% -5.50% -3.92% -2.11%
Max Increase   -7.04% -9.40% -4.87% -7.40% -9.29% -8.50% -9.83% -9.12% -14.18% -11.57% -13.04%
Avg Days to Max Increase   12 15 7 15 9 5 9 12 16 6 2
2021 Contract Condition   Yes         Yes       Yes  
Action   No         No       Not Yet  
High 286.25 271.50 285.00 309.25 319.75 347.00 356.75 370.00 386.25 417.00 423.50 409.25
Low 270.75 255.50 265.75 283.00 298.00 299.50 333.00 334.75 357.50 366.00 350.50 355.50
Close/Last 270.75 270.00 285.00 298.50 299.50 347.00 339.50 360.50 377.75 405.75 377.50 384.00

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