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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Oats(CBOT) as of Jan 01, 2016
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   36 40 40 41 41 41 41 41 42 42 42
Closed Higher   13 17 19 23 16 15 19 20 22 20 19
Exceeded High   10 12 17 14 13 11 14 13 18 13 10
Scenario Percentage   77% 71% 89% 61% 81% 73% 74% 65% 82% 65% 53%
Avg Max Increase   10.36% 9.28% 9.70% 19.41% 21.13% 14.75% 12.76% 12.12% 15.09% 14.38% 6.05%
Max Increase   32.94% 30.42% 24.73% 124.03% 100.39% 22.60% 29.75% 40.25% 35.52% 27.44% 19.32%
Avg Days To Max Increase   15 18 16 15 16 15 18 17 14 10 9
Avg Max Decline   -1.68% -3.30% -1.66% -1.75% -2.91% -1.79% -5.34% -2.84% -2.99% -2.57% -1.97%
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 11 6 9 2
2015 Contract Condition             Yes       Yes Yes
Action             No       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   36 40 40 41 41 41 41 41 42 42 42
Closed Lower   23 21 20 18 24 26 22 20 20 21 22
Penetrated Low   18 15 12 15 22 20 17 13 18 13 7
Scenario Percentage   78% 71% 60% 83% 92% 77% 77% 65% 90% 62% 32%
Avg Max Decline   7.66% 8.81% 9.90% 8.87% 11.72% 12.30% 10.37% 10.18% 9.96% 9.97% 3.60%
Max Decline   18.88% 16.71% 16.12% 17.38% 27.19% 27.27% 22.12% 39.54% 39.56% 20.30% 8.44%
Avg Days To Max Decline   13 18 19 18 21 20 22 18 21 14 4
Avg Max Increase   -1.73% -0.83% -2.83% -3.89% -4.70% -2.84% -3.99% -4.08% -5.42% -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   8 9 16 11 13 4 12 8 12 6 2
2015 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes    
Action   Yes Yes Yes No Yes   Yes Yes Yes    
High 315.50 306.75 294.00 287.25 281.00 270.75 283.50 281.25 252.00 240.00 235.25 253.25
Low 305.50 288.25 280.00 272.00 238.00 240.50 249.75 233.50 215.00 220.00 210.00 220.50
Close/Last 305.50 290.50 285.75 273.50 257.25 249.75 277.75 252.00 230.25 226.75 227.25 248.75

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