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