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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, 2016
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   16 22 26 26 28 28 28 29 29 29 29
Closed Higher   7 12 9 13 12 16 13 15 11 13 17
Exceeded High   3 10 7 9 8 12 10 9 9 9 9
Scenario Percentage   43% 83% 78% 69% 67% 75% 77% 60% 82% 69% 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
2015 Contract Condition         Yes   Yes       Yes  
Action         No   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   16 22 26 26 28 28 28 29 29 29 29
Closed Lower   9 10 17 13 16 12 15 14 18 16 11
Penetrated Low   3 8 12 12 13 11 11 13 15 10 6
Scenario Percentage   33% 80% 71% 92% 81% 92% 73% 93% 83% 63% 55%
Avg Max Decline   5.97% 8.21% 7.28% 7.44% 6.38% 7.27% 11.41% 10.42% 9.07% 8.70% 6.97%
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   22 18 20 17 15 20 17 18 21 10 8
Avg Max Increase   -3.28% -1.94% -2.06% -1.39% -1.75% -2.52% -1.64% -2.49% -3.35% -3.31% -1.31%
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   12 10 11 6 9 10 6 9 7 7 2
2015 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes   Yes
Action   Yes Yes Yes   Yes   Yes Yes Yes   Yes
High 15.05 14.80 14.40 13.68 13.41 13.33 13.11 13.00 12.03 11.16 11.31 10.96
Low 14.78 13.96 13.58 13.19 12.89 12.73 12.38 11.98 10.81 10.33 10.40 9.76
Close/Last 14.80 14.06 13.68 13.19 13.30 12.83 12.84 12.00 10.84 10.75 10.88 10.03

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