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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, 2016
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   16 19 25 26 29 29 29 29 29 29 29
Closed Higher   5 12 11 11 15 17 15 12 11 15 12
Exceeded High   3 7 9 10 13 15 9 10 7 12 7
Scenario Percentage   60% 58% 82% 91% 87% 88% 60% 83% 64% 80% 58%
Avg Max Increase   5.31% 9.21% 8.09% 9.12% 9.97% 9.72% 7.48% 6.83% 8.94% 12.19% 9.44%
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 18 15 11 18 12 14 12
Avg Max Decline   -1.30% -1.42% -1.95% -1.66% -1.22% -1.36% -1.75% -4.22% -2.95% -2.70% -1.67%
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 10 6 4
2015 Contract Condition           Yes Yes     Yes Yes Yes
Action           Yes No     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   16 19 25 26 29 29 29 29 29 29 29
Closed Lower   11 7 13 15 14 12 14 16 17 14 17
Penetrated Low   8 5 10 14 12 9 13 14 13 10 8
Scenario Percentage   73% 71% 77% 93% 86% 75% 93% 88% 76% 71% 47%
Avg Max Decline   7.41% 8.67% 7.90% 6.70% 7.88% 11.45% 7.98% 10.06% 8.88% 9.75% 3.78%
Max Decline   16.73% 12.53% 19.93% 16.67% 21.93% 28.05% 22.07% 23.56% 25.86% 24.54% 6.53%
Avg Days To Max Decline   14 25 17 15 22 14 15 17 18 15 11
Avg Max Increase   -0.48% -1.02% -1.09% -1.53% -2.03% -2.94% -2.83% -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   8 8 5 9 9 8 16 8 9 5 4
2015 Contract Condition   Yes Yes Yes Yes     Yes Yes      
Action   Yes Yes Yes Yes     Yes No      
High 13.10 12.91 12.50 12.50 11.65 11.38 11.56 11.29 10.71 10.60 11.65 12.07
Low 12.77 12.30 11.92 11.65 10.75 10.59 10.80 10.27 9.53 9.72 10.37 11.15
Close/Last 12.91 12.37 12.29 11.65 10.80 11.06 11.28 10.57 9.79 10.46 11.52 11.88

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