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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   15 21 25 25 27 27 27 28 28 28 28
Closed Higher   7 12 9 12 12 15 13 15 11 12 17
Exceeded High   3 10 7 9 8 12 10 9 9 9 9
Scenario Percentage   43% 83% 78% 75% 67% 80% 77% 60% 82% 75% 53%
Avg Max Increase   17.17% 14.08% 20.38% 10.19% 8.64% 9.59% 12.34% 8.05% 16.92% 16.32% 5.85%
Max Increase   29.20% 69.00% 86.56% 30.43% 19.09% 32.30% 24.38% 33.17% 42.59% 32.42% 14.15%
Avg Days To Max Increase   13 17 22 11 11 16 15 18 20 14 9
Avg Max Decline   -2.00% -2.02% -2.15% -1.15% -1.67% -1.94% -1.60% -1.36% -2.62% -1.78% -1.81%
Max Decline   -2.60% -7.28% -6.09% -4.97% -5.80% -10.06% -5.59% -4.19% -11.22% -4.02% -5.31%
Avg Days to Max Decline   16 9 9 8 2 7 5 8 6 6 2
2014 Contract Condition   Yes Yes       Yes   Yes Yes   Yes
Action   No No       Yes   Yes No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   15 21 25 25 27 27 27 28 28 28 28
Closed Lower   8 9 16 13 15 12 14 13 17 16 10
Penetrated Low   2 7 11 12 12 11 10 12 14 10 5
Scenario Percentage   25% 78% 69% 92% 80% 92% 71% 92% 82% 63% 50%
Avg Max Decline   5.86% 8.56% 7.63% 7.44% 6.36% 7.27% 11.16% 10.90% 9.06% 8.70% 6.73%
Max Decline   6.64% 20.21% 15.80% 16.09% 16.30% 14.03% 22.81% 19.07% 19.01% 35.58% 15.43%
Avg Days To Max Decline   19 19 19 17 14 20 19 19 21 10 7
Avg Max Increase   -3.69% -2.21% -2.10% -1.39% -1.72% -2.52% -1.78% -2.70% -3.21% -3.31% -1.50%
Max Increase   -10.16% -6.04% -6.62% -6.77% -6.09% -14.65% -4.83% -11.33% -8.21% -9.99% -2.14%
Avg Days to Max Increase   14 11 9 6 8 10 7 10 6 7 2
2014 Contract Condition       Yes Yes Yes   Yes     Yes  
Action       Yes Yes Yes   No     Yes  
High 15.98 16.98 16.63 16.55 16.34 16.05 16.29 16.29 15.68 15.89 15.71 15.80
Low 15.32 15.81 15.61 15.80 15.72 15.33 15.40 15.29 15.38 15.30 15.20 15.09
Close/Last 15.81 16.29 16.54 16.32 15.72 15.42 16.29 15.35 15.42 15.64 15.60 15.62

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