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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 Oct 20, 2019
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   24 28 31 32 32 32 32 33 33 33 33
Closed Higher   11 18 16 14 12 18 13 16 13 18 13
Exceeded High   10 15 11 11 8 14 10 13 7 14 9
Scenario Percentage   91% 83% 69% 79% 67% 78% 77% 81% 54% 78% 69%
Avg Max Increase   10.52% 9.07% 5.47% 6.95% 8.60% 13.54% 16.76% 14.04% 9.67% 8.39% 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 14 20 11 19 19 11 10 11 14
Avg Max Decline   -1.58% -0.82% -1.99% -3.07% -1.09% -3.09% -2.84% -1.57% -1.98% -2.59% -1.10%
Max Decline   -4.51% -5.47% -6.23% -11.37% -3.49% -7.47% -7.17% -5.41% -6.55% -9.88% -4.72%
Avg Days to Max Decline   10 10 5 14 7 13 8 7 4 7 3
2019 Contract Condition     Yes Yes     Yes     Yes Yes  
Action     Yes Yes     No     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   24 28 31 32 32 32 32 33 33 33 33
Closed Lower   13 10 15 18 20 14 19 17 20 15 20
Penetrated Low   11 8 10 15 15 12 13 14 14 13 8
Scenario Percentage   85% 80% 67% 83% 75% 86% 68% 82% 70% 87% 40%
Avg Max Decline   7.39% 9.56% 8.60% 8.49% 8.75% 9.10% 8.84% 9.88% 7.47% 5.85% 3.76%
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 19 16 15 19 9
Avg Max Increase   -1.72% -2.36% -0.47% -1.84% -2.68% -3.94% -2.24% -1.94% -3.30% -1.65% -1.09%
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
2019 Contract Condition   Yes     Yes Yes   Yes Yes     Yes
Action   No     Yes Yes   Yes No     Not Yet
High 11.83 11.85 11.85 12.37 12.45 11.70 12.13 12.09 11.07 11.29 10.99 11.11
Low 11.16 11.45 11.64 11.71 11.70 10.40 11.53 10.40 9.88 9.92 10.48 9.98
Close/Last 11.83 11.61 11.71 12.37 11.71 11.39 12.10 10.98 9.98 10.56 10.89 10.10

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