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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Oats(CBOT) as of Jun 08, 2020
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   40 44 44 45 45 45 45 45 45 45 45
Closed Higher   15 18 20 26 18 16 21 22 25 24 21
Exceeded High   10 12 18 16 15 12 15 15 21 15 10
Scenario Percentage   67% 67% 90% 62% 83% 75% 71% 68% 84% 63% 48%
Avg Max Increase   10.36% 9.28% 9.77% 19.67% 20.82% 14.18% 12.81% 12.94% 16.84% 13.54% 4.49%
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 16 15 14 17 17 17 11 6
Avg Max Decline   -1.68% -3.30% -1.73% -1.90% -2.91% -1.63% -5.04% -3.02% -2.46% -2.22% -1.83%
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 8 2
2019 Contract Condition   Yes     Yes Yes     Yes Yes Yes Yes
Action   No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 44 44 45 45 45 45 45 45 45 45
Closed Lower   25 24 23 18 25 29 24 22 20 20 23
Penetrated Low   20 17 15 15 23 23 18 15 18 12 9
Scenario Percentage   80% 71% 65% 83% 92% 79% 75% 68% 90% 60% 39%
Avg Max Decline   7.55% 8.54% 8.55% 8.87% 11.72% 11.78% 10.59% 9.21% 9.96% 9.72% 3.97%
Max Decline   18.88% 16.71% 16.12% 17.38% 27.19% 27.27% 22.12% 39.54% 39.56% 20.30% 9.89%
Avg Days To Max Decline   14 17 17 18 21 21 21 17 21 13 4
Avg Max Increase   -1.98% -0.79% -2.85% -3.89% -4.92% -2.88% -3.87% -3.94% -5.42% -2.97% -1.19%
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 8 14 11 13 4 11 8 12 5 2
2019 Contract Condition     Yes Yes     Yes Yes        
Action     No Yes     Yes No        
High 271.00 281.00 278.00 266.00 265.00 290.00 299.00 289.25 276.75 286.00 309.00 326.75
Low 256.00 261.50 252.50 253.00 252.50 248.50 271.00 262.00 263.00 264.50 275.25 297.25
Close/Last 268.00 268.75 257.25 255.25 260.75 285.75 276.50 263.75 269.00 275.75 297.25 321.25

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