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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Oats(CBOT) as of Dec 07, 2022
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   36 43 44 45 45 45 45 45 45 45 45
Closed Higher   21 20 19 16 17 19 26 22 19 17 20
Exceeded High   14 13 13 13 14 16 18 15 13 13 9
Scenario Percentage   67% 65% 68% 81% 82% 84% 69% 68% 68% 76% 45%
Avg Max Increase   7.31% 5.66% 11.61% 8.70% 9.75% 10.86% 19.34% 18.08% 15.38% 11.84% 8.38%
Max Increase   13.57% 11.80% 37.56% 33.14% 30.95% 24.88% 134.52% 111.54% 36.38% 20.48% 13.98%
Avg Days To Max Increase   17 13 16 15 18 15 15 16 12 13 10
Avg Max Decline   -1.83% -0.84% -1.48% -2.07% -3.53% -1.42% -1.84% -4.62% -2.38% -5.29% -1.19%
Max Decline   -9.91% -5.49% -4.63% -7.37% -14.25% -7.07% -7.91% -12.38% -10.46% -11.39% -2.96%
Avg Days to Max Decline   10 7 5 13 8 12 7 7 5 7 2
2022 Contract Condition   Yes Yes       Yes Yes Yes      
Action   Yes No       Yes Yes No      
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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   36 43 44 45 45 45 45 45 45 45 45
Closed Lower   15 23 24 29 26 26 19 23 26 28 25
Penetrated Low   11 19 19 22 19 17 15 19 22 18 4
Scenario Percentage   73% 83% 79% 76% 73% 65% 79% 83% 85% 64% 16%
Avg Max Decline   5.60% 7.32% 6.76% 8.20% 9.18% 9.45% 9.73% 11.59% 12.56% 11.85% 6.45%
Max Decline   19.89% 15.06% 17.52% 16.03% 15.31% 18.40% 19.38% 25.14% 30.34% 23.13% 12.42%
Avg Days To Max Decline   13 18 20 18 20 16 20 20 19 17 6
Avg Max Increase   -3.35% -2.17% -2.55% -2.10% -1.72% -2.42% -4.76% -6.07% -3.35% -3.84% 0.06%
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 11 11 6 12 9 13 12 5 9 1
2022 Contract Condition       Yes Yes Yes       Yes Yes Yes
Action       Yes Yes No       Yes Yes Yes
High 490.75 528.00 583.50 555.75 542.25 556.00 575.00 630.00 657.25 645.00 516.50 474.75
Low 436.00 474.00 525.00 515.00 492.00 464.75 485.25 556.00 544.00 492.75 435.00 397.00
Close/Last 475.75 524.00 547.50 530.25 529.00 489.25 559.00 590.75 641.50 515.50 448.00 404.75

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