MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		34	38	38	39	39	39	39	39	40	40	40
Closed Higher		13	16	19	23	16	14	18	19	22	18	18
Exceeded High		10	12	17	14	13	11	13	12	18	12	8
Scenario Percentage		77%	75%	89%	61%	81%	79%	72%	63%	82%	67%	44%
Avg Max Increase		10.36%	9.28%	9.70%	19.41%	21.13%	14.75%	13.04%	12.39%	15.09%	13.20%	4.23%
Max Increase		32.94%	30.42%	24.73%	124.03%	100.39%	22.60%	29.75%	40.25%	35.52%	26.13%	15.95%
Avg Days To Max Increase		15	18	16	15	16	15	17	17	14	11	5
Avg Max Decline		-1.68%	-3.30%	-1.66%	-1.75%	-2.91%	-1.79%	-5.67%	-2.69%	-2.99%	-2.54%	-2.31%
Max Decline		-6.32%	-12.05%	-7.08%	-6.64%	-9.23%	-5.03%	-9.14%	-10.22%	-7.59%	-9.51%	-6.62%
Avg Days to Max Decline		9	9	10	9	4	4	8	10	6	10	2
2013 Contract Condition		Yes			Yes				Yes		Yes	Yes
Action		Yes			Yes				No		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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		34	38	38	39	39	39	39	39	40	40	40
Closed Lower		21	20	18	16	22	25	21	19	18	21	21
Penetrated Low		17	14	11	14	20	20	16	12	16	13	7
Scenario Percentage		81%	70%	61%	88%	91%	80%	76%	63%	89%	62%	33%
Avg Max Decline		7.73%	8.25%	9.62%	9.06%	12.33%	12.30%	10.11%	10.30%	9.88%	9.97%	3.60%
Max Decline		18.88%	13.76%	16.12%	17.38%	27.19%	27.27%	22.12%	39.54%	39.56%	20.30%	8.44%
Avg Days To Max Decline		12	17	18	19	22	20	21	19	22	14	4
Avg Max Increase		-1.77%	-0.86%	-2.84%	-4.17%	-4.46%	-2.84%	-4.24%	-4.07%	-5.39%	-3.00%	-1.36%
Max Increase		-8.55%	-2.91%	-7.06%	-11.41%	-19.33%	-10.65%	-10.28%	-9.52%	-13.68%	-7.99%	-8.31%
Avg Days to Max Increase		9	9	15	12	12	4	13	8	12	6	2
2013 Contract Condition			Yes	Yes		Yes	Yes	Yes		Yes
Action			Yes	Yes		Yes	Yes	Yes		No
High	384.25	373.00	374.00	370.00	368.00	368.00	392.00	361.00	356.00	344.75	348.25	390.00
Low	347.75	338.25	357.25	350.50	339.25	346.00	358.00	320.00	321.00	303.00	310.25	318.00
Close/Last	348.75	369.00	366.25	361.00	368.00	363.50	360.50	331.50	340.50	319.25	330.25	365.25