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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Rough Rice(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 26 26 27 28 28 28 28 28 28
Closed Higher   11 9 10 14 10 13 12 15 13 15 9
Exceeded High   7 8 5 11 8 11 8 12 10 8 5
Scenario Percentage   64% 89% 50% 79% 80% 85% 67% 80% 77% 53% 56%
Avg Max Increase   3.58% 6.47% 7.47% 13.79% 19.05% 15.53% 8.58% 9.92% 12.84% 8.27% 7.84%
Max Increase   8.60% 11.03% 18.05% 70.33% 85.48% 73.40% 19.52% 32.41% 24.77% 31.92% 13.50%
Avg Days To Max Increase   17 22 8 18 21 10 9 17 15 12 10
Avg Max Decline   -2.93% -3.54% -1.28% -2.97% -2.65% -1.38% -1.86% -2.41% -2.14% -1.28% -0.33%
Max Decline   -6.35% -11.48% -3.65% -8.48% -6.86% -5.30% -6.17% -10.08% -6.22% -4.51% -1.77%
Avg Days to Max Decline   7 18 8 12 9 8 4 7 4 7 4
2014 Contract Condition     Yes Yes Yes       Yes   Yes  
Action     Yes No No       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 26 26 27 28 28 28 28 28 28
Closed Lower   8 12 15 12 17 15 15 13 15 13 19
Penetrated Low   6 9 11 10 11 13 11 12 12 12 9
Scenario Percentage   75% 75% 73% 83% 65% 87% 73% 92% 80% 92% 47%
Avg Max Decline   10.42% 9.40% 7.75% 8.85% 8.36% 9.85% 7.29% 7.68% 10.33% 9.32% 6.48%
Max Decline   19.64% 20.02% 21.54% 22.30% 16.23% 31.89% 16.45% 14.32% 24.11% 19.90% 10.18%
Avg Days To Max Decline   16 14 17 21 19 17 15 22 20 13 8
Avg Max Increase   -0.48% -2.18% -2.08% -3.73% -2.32% -1.76% -2.21% -3.03% -3.04% -2.89% -0.49%
Max Increase   -3.24% -6.75% -11.61% -12.23% -6.70% -7.34% -8.11% -16.02% -10.15% -12.83% -1.48%
Avg Days to Max Increase   13 10 7 9 8 5 6 10 8 10 2
2014 Contract Condition   Yes       Yes Yes Yes   Yes   Yes
Action   No       Yes Yes No   No   Yes
High 15.61 15.79 15.98 16.84 16.50 16.41 16.15 15.88 16.16 16.18 15.74 16.10
Low 14.86 15.20 15.32 15.81 15.46 15.63 15.54 15.12 15.20 15.21 15.28 15.25
Close/Last 15.61 15.37 15.81 16.15 16.41 16.15 15.54 15.22 16.15 15.28 15.40 15.38

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