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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   14 20 21 24 25 25 25 25 25 25 25
Closed Higher   8 10 9 14 12 11 9 11 14 11 8
Exceeded High   6 6 7 9 9 7 9 9 8 9 5
Scenario Percentage   75% 60% 78% 64% 75% 64% 100% 82% 57% 82% 63%
Avg Max Increase   8.93% 7.96% 7.01% 8.41% 10.94% 9.34% 15.06% 15.26% 10.68% 8.63% 4.65%
Max Increase   26.96% 17.78% 13.31% 17.80% 24.41% 33.38% 40.53% 30.64% 24.53% 22.37% 9.55%
Avg Days To Max Increase   23 10 11 16 16 17 21 19 9 12 16
Avg Max Decline   -2.00% -1.17% -1.55% -0.65% -2.58% -1.43% -2.62% -2.05% -2.61% -1.89% -1.35%
Max Decline   -6.01% -5.05% -5.11% -1.57% -11.53% -2.98% -10.82% -5.52% -6.82% -13.01% -3.96%
Avg Days to Max Decline   10 7 6 5 10 9 6 8 4 7 1
2014 Contract Condition         Yes     Yes Yes      
Action         No     Yes No      
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   14 20 21 24 25 25 25 25 25 25 25
Closed Lower   6 10 12 10 13 14 16 14 11 14 17
Penetrated Low   4 9 9 9 11 13 13 9 10 11 6
Scenario Percentage   67% 90% 75% 90% 85% 93% 81% 64% 91% 79% 35%
Avg Max Decline   8.09% 6.73% 6.26% 7.11% 9.96% 9.68% 9.34% 10.49% 8.33% 8.85% 5.58%
Max Decline   12.38% 12.73% 15.20% 14.46% 22.56% 18.76% 19.56% 30.58% 21.10% 20.07% 10.04%
Avg Days To Max Decline   16 15 11 20 17 15 21 15 11 12 13
Avg Max Increase   -0.62% -1.19% -1.83% -2.74% -1.60% -2.14% -2.88% -3.47% -5.20% -2.31% -3.41%
Max Increase   -2.36% -6.85% -4.90% -13.34% -5.08% -10.88% -7.38% -9.42% -27.43% -11.68% -7.69%
Avg Days to Max Increase   7 8 8 12 7 11 7 8 18 5 3
2014 Contract Condition   Yes Yes Yes   Yes Yes     Yes Yes Yes
Action   Yes Yes Yes   Yes Yes     Yes Yes Not Yet
High 16.63 16.55 16.37 16.20 16.27 15.99 15.47 15.54 15.74 15.70 15.60 15.18
Low 15.61 15.80 15.86 15.46 15.49 15.17 15.09 15.01 15.23 15.20 14.95 14.00
Close/Last 16.54 16.32 15.86 15.51 15.99 15.29 15.16 15.46 15.66 15.56 14.98 14.54

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