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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Rough Rice(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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   18 22 25 26 26 26 26 27 27 27 27
Closed Higher   8 13 13 11 9 14 11 13 11 13 13
Exceeded High   7 11 9 9 6 12 8 11 7 12 9
Scenario Percentage   88% 85% 69% 82% 67% 86% 73% 85% 64% 92% 69%
Avg Max Increase   12.48% 10.39% 5.44% 6.68% 7.81% 14.32% 19.52% 15.92% 9.67% 9.59% 7.84%
Max Increase   29.36% 23.78% 17.68% 11.53% 19.56% 71.94% 87.52% 76.44% 21.38% 28.51% 20.65%
Avg Days To Max Increase   23 20 15 20 9 18 21 11 10 13 14
Avg Max Decline   -1.99% -0.37% -2.50% -3.72% -1.28% -3.33% -2.94% -1.78% -1.98% -2.98% -1.10%
Max Decline   -4.51% -3.08% -6.23% -11.37% -3.49% -7.47% -7.17% -5.41% -6.55% -9.88% -4.72%
Avg Days to Max Decline   12 8 5 17 7 12 9 8 4 7 3
2013 Contract Condition   Yes Yes Yes   Yes Yes   Yes   Yes  
Action   Yes Yes No   Yes Yes   No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   18 22 25 26 26 26 26 27 27 27 27
Closed Lower   10 9 12 15 17 12 15 14 16 14 14
Penetrated Low   9 8 9 13 12 10 9 12 12 12 6
Scenario Percentage   90% 89% 75% 87% 71% 83% 60% 86% 75% 86% 43%
Avg Max Decline   7.42% 9.56% 8.70% 8.21% 8.44% 9.41% 9.58% 10.64% 7.72% 5.86% 3.90%
Max Decline   22.37% 27.09% 19.79% 20.73% 22.74% 23.43% 15.87% 31.81% 16.43% 11.85% 5.97%
Avg Days To Max Decline   21 16 14 17 17 22 20 17 16 18 9
Avg Max Increase   -2.13% -2.36% -0.59% -2.13% -2.50% -4.28% -2.64% -2.00% -3.38% -1.53% -1.61%
Max Increase   -5.43% -6.12% -3.40% -6.89% -13.40% -13.47% -5.25% -8.00% -9.69% -5.96% -3.19%
Avg Days to Max Increase   12 8 14 7 9 10 8 5 9 7 3
2013 Contract Condition         Yes     Yes   Yes   Yes
Action         Yes     Yes   Yes   Yes
High 15.61 15.48 16.05 16.62 16.48 15.65 16.38 16.60 15.81 15.77 15.48 15.58
Low 15.00 14.66 14.95 15.75 15.00 14.53 15.02 15.42 14.85 14.98 14.60 14.86
Close/Last 15.00 15.39 15.77 15.87 15.00 15.02 16.16 15.60 15.79 15.14 15.27 14.86

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