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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, 2018
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   18 21 27 28 31 31 31 31 31 31 31
Closed Higher   6 13 11 11 15 18 16 13 12 16 13
Exceeded High   3 7 9 10 13 16 10 11 8 13 8
Scenario Percentage   50% 54% 82% 91% 87% 89% 63% 85% 67% 81% 62%
Avg Max Increase   5.31% 9.21% 8.09% 9.12% 9.97% 9.79% 7.70% 7.06% 8.61% 11.57% 8.47%
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 16 12 19 14 13 12
Avg Max Decline   -1.30% -1.42% -1.95% -1.66% -1.22% -1.71% -1.81% -4.08% -2.84% -2.67% -1.61%
Max Decline   -2.87% -7.69% -4.80% -6.96% -4.59% -6.85% -5.28% -12.46% -5.52% -9.44% -3.97%
Avg Days to Max Decline   2 5 16 5 9 11 5 13 11 6 4
2017 Contract Condition   Yes         Yes   Yes Yes Yes Yes
Action   No         Yes   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   18 21 27 28 31 31 31 31 31 31 31
Closed Lower   12 8 15 17 16 13 15 17 18 15 18
Penetrated Low   9 6 12 16 14 9 13 15 14 11 8
Scenario Percentage   75% 75% 80% 94% 88% 69% 87% 88% 78% 73% 44%
Avg Max Decline   7.15% 7.93% 7.58% 7.06% 7.81% 11.45% 7.98% 10.26% 9.24% 9.57% 3.78%
Max Decline   16.73% 12.53% 19.93% 17.53% 21.93% 28.05% 22.07% 23.56% 25.86% 24.54% 6.53%
Avg Days To Max Decline   15 25 18 16 23 14 15 17 19 17 11
Avg Max Increase   -0.95% -1.32% -1.25% -1.37% -2.25% -2.94% -2.83% -3.43% -3.50% -2.43% -1.55%
Max Increase   -4.70% -3.16% -4.31% -7.30% -7.03% -6.49% -11.65% -8.59% -16.01% -7.27% -3.52%
Avg Days to Max Increase   7 8 7 8 11 8 16 8 9 6 4
2017 Contract Condition     Yes Yes Yes Yes   Yes        
Action     Yes Yes Yes Yes   No        
High 10.79 11.37 10.65 10.76 10.65 10.21 10.45 10.73 11.49 12.27 12.45 12.56
Low 10.29 10.84 10.17 10.02 10.17 10.01 10.00 9.65 9.76 11.08 11.57 11.98
Close/Last 10.75 10.92 10.47 10.21 10.17 10.03 10.36 9.68 11.39 11.82 12.26 12.55

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