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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Oats(CBOT) as of Sep 29, 2023
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   14 19 21 25 20 17 21 22 25 24 20
Exceeded High   10 13 19 17 16 13 15 16 22 15 11
Scenario Percentage   71% 68% 90% 68% 80% 76% 71% 73% 88% 63% 55%
Avg Max Increase   10.36% 9.70% 10.53% 17.75% 20.47% 15.70% 14.05% 15.35% 17.18% 14.39% 5.79%
Max Increase   32.94% 30.42% 24.73% 124.03% 100.39% 33.93% 32.77% 46.09% 35.52% 27.44% 19.32%
Avg Days To Max Increase   15 18 16 17 16 15 18 19 15 9 8
Avg Max Decline   -1.68% -3.08% -1.50% -2.65% -3.34% -2.07% -5.17% -3.13% -2.41% -2.05% -1.82%
Max Decline   -6.32% -12.05% -7.08% -8.63% -9.23% -7.40% -9.14% -10.22% -7.59% -9.51% -6.62%
Avg Days to Max Decline   9 8 11 10 5 4 8 10 5 8 2
2023 Contract Condition   Yes   Yes   Yes Yes Yes Yes      
Action   No   No   Yes Yes 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   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 25 23 19 23 28 24 22 20 20 24
Penetrated Low   21 17 14 15 21 23 18 15 18 13 10
Scenario Percentage   78% 68% 61% 79% 91% 82% 75% 68% 90% 65% 42%
Avg Max Decline   7.33% 8.56% 8.91% 8.87% 11.21% 11.96% 11.08% 9.64% 10.43% 10.07% 3.92%
Max Decline   18.88% 16.71% 16.12% 17.38% 22.63% 27.27% 22.12% 39.54% 39.56% 20.30% 9.89%
Avg Days To Max Decline   14 17 17 18 20 21 19 18 21 13 4
Avg Max Increase   -1.91% -1.02% -2.56% -3.89% -5.27% -2.90% -3.32% -3.71% -5.26% -3.02% -1.32%
Max Increase   -8.55% -3.62% -7.06% -11.41% -19.33% -10.65% -10.28% -8.26% -13.68% -7.99% -8.31%
Avg Days to Max Increase   8 9 13 11 13 4 9 9 12 7 2
2023 Contract Condition     Yes   Yes         Yes    
Action     Yes   No         Not Yet    
High 373.00 386.00 383.00 380.25 374.50 358.50 429.50 472.75 522.50 509.75    
Low 324.50 343.75 352.00 341.00 321.50 321.75 342.00 405.25 419.00 417.75    
Close/Last 368.50 383.50 352.00 366.50 331.75 350.75 408.00 456.25 493.25 432.50    

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