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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 Dec 30, 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   17 23 27 27 29 29 29 30 30 30 30
Closed Higher   8 13 10 14 12 17 13 15 11 13 18
Exceeded High   4 11 8 10 8 12 10 9 9 9 10
Scenario Percentage   50% 85% 80% 71% 67% 71% 77% 60% 82% 69% 56%
Avg Max Increase   16.95% 13.94% 18.95% 9.32% 8.64% 9.59% 12.34% 8.05% 16.92% 16.32% 5.96%
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   14 18 20 10 11 16 15 18 20 14 9
Avg Max Decline   -1.50% -1.93% -2.15% -0.99% -1.67% -1.94% -1.60% -1.36% -2.62% -1.78% -1.60%
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   12 9 8 7 2 7 5 8 6 6 2
2016 Contract Condition   Yes Yes Yes Yes   Yes         Yes
Action   Yes Yes Yes Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   17 23 27 27 29 29 29 30 30 30 30
Closed Lower   9 10 17 13 17 12 16 15 19 17 11
Penetrated Low   3 8 12 12 14 11 12 14 16 10 6
Scenario Percentage   33% 80% 71% 92% 82% 92% 75% 93% 84% 59% 55%
Avg Max Decline   5.97% 8.21% 7.28% 7.44% 6.52% 7.27% 11.62% 11.03% 9.23% 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 16 20 18 18 21 10 8
Avg Max Increase   -3.28% -1.94% -2.06% -1.39% -1.94% -2.52% -1.56% -2.35% -3.30% -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 8 10 6 9 7 7 2
2016 Contract Condition           Yes   Yes Yes Yes Yes  
Action           Yes   Yes Yes Yes Not Yet  
High 11.12 11.19 12.44 13.01 14.00 14.10 12.97 12.38 12.21 11.70 10.95 11.14
Low 10.28 10.51 11.19 12.32 12.67 12.22 12.39 11.37 10.96 10.44 9.43 9.53
Close/Last 10.51 11.19 12.44 12.94 13.89 12.42 12.47 12.12 11.63 10.79 9.69 10.84

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