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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Oats(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 34 36 39 39 39 39 39 39 39 39
Closed Higher   15 15 17 15 17 16 23 17 15 16 18
Exceeded High   9 11 11 13 12 13 14 12 12 11 8
Scenario Percentage   60% 73% 65% 87% 71% 81% 61% 71% 80% 69% 44%
Avg Max Increase   6.12% 5.35% 12.31% 9.09% 9.87% 9.66% 22.18% 20.60% 13.51% 11.14% 5.26%
Max Increase   10.82% 11.80% 37.56% 33.14% 30.95% 24.88% 134.52% 111.54% 22.22% 19.21% 8.28%
Avg Days To Max Increase   18 12 15 17 19 15 14 16 11 12 7
Avg Max Decline   -2.68% -0.95% -1.15% -2.14% -4.03% -1.62% -1.42% -4.26% -2.12% -4.77% -0.97%
Max Decline   -9.91% -5.49% -4.62% -7.37% -14.25% -7.07% -6.68% -12.38% -10.46% -8.82% -2.96%
Avg Days to Max Decline   14 8 4 13 9 10 7 6 4 8 2
2013 Contract Condition   Yes     Yes   Yes         Yes
Action   No     Yes   No         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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 34 36 39 39 39 39 39 39 39 39
Closed Lower   12 19 18 24 21 23 16 22 24 23 21
Penetrated Low   10 16 13 19 15 14 13 19 19 14 2
Scenario Percentage   83% 84% 72% 79% 71% 61% 81% 86% 79% 61% 10%
Avg Max Decline   5.87% 7.45% 7.40% 8.27% 9.44% 9.72% 10.15% 12.69% 13.73% 9.98% 5.57%
Max Decline   19.89% 15.06% 17.52% 16.55% 15.31% 18.40% 19.38% 28.78% 30.34% 22.01% 8.18%
Avg Days To Max Decline   12 17 18 17 20 17 20 21 20 16 9
Avg Max Increase   -3.16% -1.88% -2.45% -2.16% -1.70% -2.69% -5.12% -4.77% -3.28% -2.93% 0.09%
Max Increase   -12.59% -6.13% -8.50% -8.70% -6.27% -7.55% -11.88% -20.37% -11.37% -13.13% 0.00%
Avg Days to Max Increase   10 10 8 6 12 10 13 11 6 7 1
2013 Contract Condition     Yes Yes   Yes   Yes Yes Yes Yes  
Action     Yes Yes   Yes   No Yes Yes Not Yet  
High 400.75 400.25 399.50 393.50 375.00 379.50 390.00 378.25 374.25 399.00 363.00 397.75
Low 368.00 367.50 361.00 351.25 341.25 366.00 358.00 341.00 347.00 365.25 330.50 333.00
Close/Last 377.50 399.50 376.50 351.75 371.25 368.25 378.25 374.25 370.25 366.25 340.25 391.50

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