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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, 2019
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   19 22 28 29 32 32 32 32 32 32 32
Closed Higher   6 14 11 12 15 19 17 13 12 17 13
Exceeded High   3 8 9 11 13 17 10 11 8 13 8
Scenario Percentage   50% 57% 82% 92% 87% 89% 59% 85% 67% 76% 62%
Avg Max Increase   5.31% 8.35% 8.09% 8.32% 9.97% 9.47% 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 21 17 16 18 16 12 19 14 13 12
Avg Max Decline   -1.30% -1.48% -1.95% -1.55% -1.22% -1.61% -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 4 16 5 9 10 5 13 11 6 4
2018 Contract Condition     Yes   Yes   Yes Yes     Yes  
Action     Yes   Yes   Yes No     Not Yet  
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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   19 22 28 29 32 32 32 32 32 32 32
Closed Lower   13 8 16 17 17 13 15 18 19 15 19
Penetrated Low   10 6 13 16 15 9 13 16 15 11 8
Scenario Percentage   77% 75% 81% 94% 88% 69% 87% 89% 79% 73% 42%
Avg Max Decline   6.45% 7.93% 7.27% 7.06% 7.39% 11.45% 7.98% 10.23% 9.41% 9.50% 3.65%
Max Decline   16.73% 12.53% 19.93% 17.53% 21.93% 28.05% 22.07% 23.56% 25.86% 23.73% 5.57%
Avg Days To Max Decline   15 25 17 16 22 14 15 17 19 17 11
Avg Max Increase   -1.04% -1.32% -1.08% -1.37% -2.19% -2.94% -2.83% -3.27% -3.80% -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 6 8 10 8 16 7 9 6 4
2018 Contract Condition   Yes   Yes   Yes     Yes Yes   Yes
Action   Yes   Yes   Yes     Yes Yes   Not Yet
High 12.35 11.89 12.01 12.25 11.98 12.00 11.90 12.32 12.27 11.70 12.12 12.03
Low 11.43 11.10 11.09 11.70 11.30 11.59 11.58 11.79 11.18 10.24 11.09 9.90
Close/Last 11.53 11.10 11.97 11.73 11.97 11.75 11.81 12.26 11.34 11.23 11.92 10.83

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