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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 Sep 22, 2023
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   24 30 34 34 36 36 36 37 37 37 37
Closed Higher   11 18 13 18 14 23 17 20 12 19 22
Exceeded High   7 15 10 14 8 17 13 13 10 14 12
Scenario Percentage   64% 83% 77% 78% 57% 74% 76% 65% 83% 74% 55%
Avg Max Increase   11.82% 11.20% 15.56% 7.62% 8.64% 8.31% 10.72% 7.08% 16.13% 14.65% 5.50%
Max Increase   29.20% 69.00% 86.56% 30.43% 19.09% 32.30% 24.38% 33.17% 42.59% 33.24% 14.15%
Avg Days To Max Increase   21 19 18 12 11 18 14 16 21 14 9
Avg Max Decline   -1.90% -2.24% -2.02% -1.10% -1.67% -2.06% -1.86% -2.46% -2.48% -2.67% -1.68%
Max Decline   -3.16% -7.28% -6.09% -4.97% -5.80% -10.06% -5.59% -8.80% -11.22% -7.73% -5.31%
Avg Days to Max Decline   10 12 8 10 2 9 6 10 7 9 3
2023 Contract Condition     Yes Yes     Yes Yes     Yes  
Action     Yes No     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   24 30 34 34 36 36 36 37 37 37 37
Closed Lower   13 12 21 16 22 13 19 17 25 18 14
Penetrated Low   6 9 14 14 17 12 15 16 20 10 6
Scenario Percentage   46% 75% 67% 88% 77% 92% 79% 94% 80% 56% 43%
Avg Max Decline   6.21% 8.06% 6.85% 7.14% 5.67% 7.11% 10.14% 10.51% 8.36% 8.70% 6.97%
Max Decline   12.64% 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 19 19 17 15 21 17 17 20 10 8
Avg Max Increase   -1.96% -2.17% -1.78% -1.29% -1.69% -2.55% -1.88% -2.23% -3.30% -3.31% -1.31%
Max Increase   -10.16% -6.04% -6.62% -6.77% -6.09% -14.65% -5.17% -11.33% -8.21% -9.99% -2.14%
Avg Days to Max Increase   7 11 10 6 9 9 7 8 8 7 2
2023 Contract Condition   Yes     Yes Yes     Yes Yes   Yes
Action   Yes     Yes No     Yes Yes   Not Yet
High 18.32 18.02 17.79 18.40 18.30 17.64 18.62 18.75 18.65 18.50 18.00 17.86
Low 17.53 16.99 16.82 17.37 17.72 16.95 17.77 17.23 17.62 16.94 16.25 16.25
Close/Last 18.32 17.43 17.59 18.34 17.80 17.50 18.35 18.63 18.18 17.35 17.41 17.39

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