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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Rough Rice(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   14 17 23 24 27 27 27 27 27 27 27
Closed Higher   4 11 11 11 13 15 14 12 10 14 11
Exceeded High   3 7 9 10 11 14 9 10 6 11 6
Scenario Percentage   75% 64% 82% 91% 85% 93% 64% 83% 60% 79% 55%
Avg Max Increase   5.31% 9.21% 8.09% 9.12% 11.01% 10.30% 7.48% 6.83% 7.85% 12.29% 9.74%
Max Increase   11.11% 25.44% 23.19% 23.16% 34.06% 26.96% 22.02% 11.61% 21.03% 65.96% 39.29%
Avg Days To Max Increase   18 22 17 17 16 14 11 18 13 14 12
Avg Max Decline   -1.30% -1.42% -1.95% -1.66% -1.17% -1.40% -1.75% -4.22% -3.31% -2.65% -1.53%
Max Decline   -2.87% -7.69% -4.80% -6.96% -4.59% -4.31% -5.28% -12.46% -5.52% -9.44% -3.97%
Avg Days to Max Decline   2 5 16 5 9 10 5 13 12 4 4
2013 Contract Condition         Yes       Yes Yes Yes  
Action         Yes       Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   14 17 23 24 27 27 27 27 27 27 27
Closed Lower   10 6 11 13 14 12 13 14 16 13 16
Penetrated Low   7 4 8 12 12 9 12 13 12 9 7
Scenario Percentage   70% 67% 73% 92% 86% 75% 92% 93% 75% 69% 44%
Avg Max Decline   7.64% 7.70% 8.33% 7.56% 7.88% 11.45% 7.83% 9.98% 8.99% 10.07% 3.74%
Max Decline   16.73% 12.43% 19.93% 16.67% 21.93% 28.05% 22.07% 23.56% 25.86% 23.73% 5.57%
Avg Days To Max Decline   12 25 21 17 22 14 16 17 17 16 11
Avg Max Increase   -0.40% -0.85% -1.26% -1.80% -2.03% -2.94% -2.96% -3.29% -3.76% -1.99% -1.76%
Max Increase   -4.17% -3.16% -2.94% -7.30% -6.00% -6.49% -11.65% -8.59% -16.01% -7.27% -3.52%
Avg Days to Max Increase   3 8 6 10 9 8 18 8 9 3 4
2013 Contract Condition   Yes Yes Yes   Yes Yes Yes       Yes
Action   Yes No Yes   Yes No No       Not Yet
High 16.04 16.04 15.66 15.70 15.70 15.89 15.60 15.59 15.74 16.47 16.10 16.70
Low 15.16 15.47 14.94 15.41 15.29 15.50 14.60 14.85 14.90 15.43 14.73 14.97
Close/Last 16.04 15.54 15.53 15.41 15.68 15.57 15.32 15.05 15.49 15.59 15.83 15.81

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