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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 27 31 31 32 33 33 33 33 33 33
Closed Higher   14 11 12 17 12 16 14 19 13 17 9
Exceeded High   9 9 7 13 10 13 8 13 10 9 5
Scenario Percentage   64% 82% 58% 76% 83% 81% 57% 68% 77% 53% 56%
Avg Max Increase   4.01% 6.81% 8.38% 13.00% 16.34% 13.68% 8.58% 9.30% 12.84% 7.47% 7.84%
Max Increase   10.44% 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   15 23 15 18 18 10 9 15 15 11 10
Avg Max Decline   -2.21% -3.21% -1.20% -2.81% -2.48% -1.11% -1.86% -2.23% -2.14% -1.23% -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 16 8 13 8 7 4 6 4 6 4
2019 Contract Condition   Yes     Yes     Yes Yes   Yes  
Action   Yes     No     No 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 27 31 31 32 33 33 33 33 33 33
Closed Lower   10 15 18 14 20 17 18 14 20 16 24
Penetrated Low   7 11 13 12 13 14 13 13 17 15 10
Scenario Percentage   70% 73% 72% 86% 65% 82% 72% 93% 85% 94% 42%
Avg Max Decline   10.01% 9.54% 8.10% 8.45% 8.63% 9.63% 7.05% 7.51% 9.72% 8.81% 6.24%
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 19 21 20 17 14 22 18 13 9
Avg Max Increase   -0.41% -1.75% -2.06% -3.44% -2.17% -1.83% -2.27% -3.03% -2.90% -2.44% -0.60%
Max Increase   -3.24% -6.75% -11.61% -12.23% -6.70% -7.34% -8.11% -16.02% -10.15% -12.83% -1.54%
Avg Days to Max Increase   11 9 7 10 9 5 5 9 8 8 2
2019 Contract Condition     Yes Yes   Yes Yes     Yes   Yes
Action     Yes No   Yes No     Yes   Not Yet
High 11.85 12.32 12.40 11.67 12.34 12.18 11.20 11.41 11.16 11.27 10.93 10.76
Low 11.64 11.71 11.70 10.41 11.55 10.70 10.00 10.10 10.66 10.11 10.27 9.80
Close/Last 11.71 12.32 11.71 11.41 12.19 11.07 10.15 10.73 11.07 10.37 10.61 10.40

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