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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 Oct 20, 2019
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   19 25 26 29 30 30 30 30 30 30 30
Closed Higher   10 13 11 18 12 13 9 14 16 13 11
Exceeded High   8 8 7 10 9 9 9 11 9 10 7
Scenario Percentage   80% 62% 64% 56% 75% 69% 100% 79% 56% 77% 64%
Avg Max Increase   7.92% 6.75% 7.01% 7.69% 10.94% 7.78% 15.06% 14.20% 10.53% 8.38% 4.95%
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   19 11 11 15 16 17 21 21 10 12 14
Avg Max Decline   -1.91% -0.68% -1.55% -0.51% -2.58% -2.03% -2.62% -2.94% -2.68% -1.95% -0.92%
Max Decline   -6.01% -5.05% -5.11% -1.57% -11.53% -7.84% -10.82% -7.78% -6.82% -13.01% -3.96%
Avg Days to Max Decline   9 6 6 5 10 9 6 12 4 7 1
2019 Contract Condition       Yes Yes   Yes   Yes   Yes  
Action       No Yes   Yes   Yes   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   19 25 26 29 30 30 30 30 30 30 30
Closed Lower   9 12 15 11 18 17 21 16 14 17 19
Penetrated Low   6 10 12 10 16 16 16 10 11 13 8
Scenario Percentage   67% 83% 80% 91% 89% 94% 76% 63% 79% 76% 42%
Avg Max Decline   7.22% 6.58% 5.99% 6.85% 9.17% 9.46% 9.16% 10.45% 8.50% 8.64% 4.89%
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 14 20 16 15 21 16 11 11 10
Avg Max Increase   -0.83% -1.35% -1.93% -2.75% -1.59% -1.78% -3.12% -3.73% -4.85% -2.70% -2.49%
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   11 8 8 11 7 9 10 10 16 5 2
2019 Contract Condition   Yes Yes     Yes   Yes   Yes   Yes
Action   Yes No     Yes   No   No   Yes
High 12.48 12.33 11.35 11.63 11.36 11.49 11.17 11.10 11.37 11.06 11.90 11.79
Low 11.69 10.88 10.38 10.76 11.06 10.52 10.56 10.11 10.68 10.33 10.41 11.00
Close/Last 12.34 11.25 10.42 10.98 11.36 10.69 10.97 10.80 11.01 10.58 11.46 11.28

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