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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, 2016
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   15 21 22 25 26 26 26 26 26 26 26
Closed Higher   8 11 9 15 12 11 9 12 14 11 9
Exceeded High   6 6 7 9 9 7 9 9 8 9 6
Scenario Percentage   75% 55% 78% 60% 75% 64% 100% 75% 57% 82% 67%
Avg Max Increase   8.93% 7.96% 7.01% 8.41% 10.94% 9.34% 15.06% 15.26% 10.68% 8.63% 5.33%
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 15
Avg Max Decline   -2.00% -1.17% -1.55% -0.65% -2.58% -1.43% -2.62% -2.05% -2.61% -1.89% -1.09%
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
2015 Contract Condition     Yes   Yes       Yes     Yes
Action     No   No       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   15 21 22 25 26 26 26 26 26 26 26
Closed Lower   7 10 13 10 14 15 17 14 12 15 17
Penetrated Low   5 9 10 9 12 14 14 9 11 11 6
Scenario Percentage   71% 90% 77% 90% 86% 93% 82% 64% 92% 73% 35%
Avg Max Decline   7.12% 6.73% 6.22% 7.11% 10.27% 9.31% 9.31% 10.49% 8.50% 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   19 15 13 20 16 15 20 15 11 12 13
Avg Max Increase   -0.82% -1.19% -1.87% -2.74% -1.48% -1.99% -3.01% -3.47% -4.85% -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   12 8 9 12 6 10 8 8 16 5 3
2015 Contract Condition   Yes   Yes   Yes Yes Yes   Yes Yes  
Action   Yes   Yes   Yes Yes Yes   Yes Not Yet  
High 14.46 13.86 13.58 13.51 13.30 13.10 12.26 11.37 11.50 11.15 10.44 10.22
Low 13.76 13.37 13.07 12.93 12.56 12.25 11.03 10.57 10.65 10.01 9.25 9.45
Close/Last 13.86 13.37 13.48 13.01 13.04 12.25 11.07 10.98 11.11 10.30 9.51 10.17

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