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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, 2015
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   15 18 24 25 28 28 28 28 28 28 28
Closed Higher   5 12 11 11 14 16 15 12 10 14 11
Exceeded High   3 7 9 10 12 15 9 10 6 11 6
Scenario Percentage   60% 58% 82% 91% 86% 94% 60% 83% 60% 79% 55%
Avg Max Increase   5.31% 9.21% 8.09% 9.12% 10.43% 9.72% 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 17 15 11 18 13 14 12
Avg Max Decline   -1.30% -1.42% -1.95% -1.66% -1.13% -1.36% -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
2014 Contract Condition   Yes Yes     Yes Yes Yes        
Action   No No     Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   15 18 24 25 28 28 28 28 28 28 28
Closed Lower   10 6 12 14 14 12 13 15 17 14 17
Penetrated Low   7 4 9 13 12 9 12 14 13 10 8
Scenario Percentage   70% 67% 75% 93% 86% 75% 92% 93% 76% 71% 47%
Avg Max Decline   7.64% 7.70% 7.76% 7.07% 7.88% 11.45% 7.83% 10.06% 8.88% 9.67% 3.65%
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 19 16 22 14 16 17 18 15 11
Avg Max Increase   -0.40% -0.85% -1.21% -1.65% -2.03% -2.94% -2.96% -3.07% -3.56% -1.95% -1.55%
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 5 4
2014 Contract Condition       Yes Yes       Yes Yes Yes Yes
Action       Yes Yes       Yes Yes Yes Yes
High 15.00 15.00 14.87 14.73 14.43 14.12 14.40 14.61 14.59 14.40 13.72 13.20
Low 14.44 14.04 14.41 14.24 13.94 13.84 13.94 14.25 14.33 13.40 12.79 12.55
Close/Last 14.44 14.53 14.72 14.31 14.02 14.04 14.37 14.57 14.38 13.57 12.98 12.59

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