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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, 2018
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   22 26 29 30 30 30 30 31 31 31 31
Closed Higher   10 16 15 13 11 16 12 16 12 16 13
Exceeded High   9 13 10 10 7 13 9 13 7 12 9
Scenario Percentage   90% 81% 67% 77% 64% 81% 75% 81% 58% 75% 69%
Avg Max Increase   10.96% 9.20% 5.96% 6.67% 8.78% 14.25% 18.47% 14.04% 9.67% 9.00% 7.71%
Max Increase   29.36% 23.78% 17.68% 11.53% 19.56% 71.94% 87.52% 76.44% 21.38% 27.29% 19.50%
Avg Days To Max Increase   25 21 16 20 9 19 19 11 10 11 13
Avg Max Decline   -1.72% -0.52% -2.09% -3.32% -1.08% -3.23% -2.98% -1.57% -1.98% -2.32% -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   10 9 6 15 6 13 8 7 4 6 3
2017 Contract Condition       Yes Yes       Yes Yes    
Action       Yes No       Yes No    
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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   22 26 29 30 30 30 30 31 31 31 31
Closed Lower   12 10 14 17 19 14 18 15 19 15 18
Penetrated Low   11 8 10 14 14 12 12 13 13 13 7
Scenario Percentage   92% 80% 71% 82% 74% 86% 67% 87% 68% 87% 39%
Avg Max Decline   7.39% 9.56% 8.60% 8.30% 8.76% 9.10% 8.74% 10.03% 7.86% 5.83% 3.92%
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   22 16 14 17 19 19 18 16 15 18 9
Avg Max Increase   -1.72% -2.36% -0.47% -1.99% -2.41% -3.94% -2.36% -1.86% -3.50% -1.65% -1.43%
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   10 8 13 6 9 9 8 5 9 7 3
2017 Contract Condition   Yes Yes     Yes Yes Yes     Yes Yes
Action   Yes No     Yes Yes Yes     Yes Not Yet
High 12.48 12.07 11.41 11.61 12.69 12.43 11.42 10.95 10.20 10.72 10.15 10.00
Low 11.53 11.47 10.34 10.47 11.44 11.13 10.23 9.65 9.61 10.05 9.30 9.14
Close/Last 12.11 11.51 10.56 11.47 11.64 11.16 10.43 9.69 10.13 10.15 9.71 9.36

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