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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 Oct 20, 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   20 23 29 30 33 33 33 33 33 33 33
Closed Higher   7 15 11 13 15 20 17 14 12 18 13
Exceeded High   3 9 9 12 13 18 10 12 8 13 8
Scenario Percentage   43% 60% 82% 92% 87% 90% 59% 86% 67% 72% 62%
Avg Max Increase   5.31% 7.56% 8.09% 7.92% 9.97% 9.48% 7.70% 6.96% 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 19 17 17 18 17 12 20 14 13 12
Avg Max Decline   -1.30% -1.23% -1.95% -1.96% -1.22% -1.77% -1.81% -4.05% -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 6 9 11 5 15 11 6 4
2019 Contract Condition   Yes Yes   Yes   Yes   Yes   Yes  
Action   No Yes   Yes   Yes   Yes   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   20 23 29 30 33 33 33 33 33 33 33
Closed Lower   13 8 17 17 18 13 16 18 20 15 20
Penetrated Low   10 6 14 16 15 9 13 16 16 11 8
Scenario Percentage   77% 75% 82% 94% 83% 69% 81% 89% 80% 73% 40%
Avg Max Decline   6.45% 7.93% 7.09% 7.06% 7.39% 11.45% 7.98% 10.23% 9.20% 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% -1.32% -1.37% -2.19% -2.94% -2.83% -3.27% -3.98% -2.43% -1.55%
Max Increase   -4.70% -3.16% -4.47% -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 10 8 16 7 10 6 4
2019 Contract Condition       Yes   Yes   Yes   Yes   Yes
Action       Yes   No   No   Yes   Not Yet
High 11.32 11.50 11.28 11.42 11.09 11.04 11.21 10.97 11.98 12.02 12.35 12.00
Low 10.35 10.73 10.98 10.47 10.61 10.12 10.63 10.45 10.57 11.34 11.21 10.87
Close/Last 10.38 10.91 11.28 10.62 10.83 10.70 10.94 10.72 11.65 11.58 11.95 11.67

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