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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 Nov 09, 2020
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   21 24 30 31 34 34 34 34 34 34 34
Closed Higher   7 16 11 14 15 21 17 15 12 18 14
Exceeded High   3 10 9 13 13 19 10 13 8 13 9
Scenario Percentage   43% 63% 82% 93% 87% 90% 59% 87% 67% 72% 64%
Avg Max Increase   5.31% 6.98% 8.09% 7.39% 9.97% 9.11% 7.70% 6.66% 8.61% 11.57% 8.87%
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 20 17 16 18 17 12 18 14 13 12
Avg Max Decline   -1.30% -1.27% -1.95% -1.84% -1.22% -1.81% -1.81% -3.77% -2.84% -2.67% -1.68%
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 7 16 6 9 11 5 14 11 6 5
2020 Contract Condition     Yes   Yes   Yes   Yes     Yes
Action     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   21 24 30 31 34 34 34 34 34 34 34
Closed Lower   14 8 18 17 19 13 17 18 21 16 20
Penetrated Low   10 6 15 16 16 9 14 16 17 11 8
Scenario Percentage   71% 75% 83% 94% 84% 69% 82% 89% 81% 69% 40%
Avg Max Decline   6.45% 7.93% 6.70% 7.06% 7.22% 11.45% 7.57% 10.23% 9.15% 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 16 16 22 14 15 17 20 17 11
Avg Max Increase   -1.04% -1.32% -1.24% -1.37% -2.11% -2.94% -3.14% -3.27% -3.82% -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 6 8 11 8 18 7 10 6 4
2020 Contract Condition   Yes   Yes   Yes   Yes   Yes Yes  
Action   No   Yes   Yes   Yes   Yes Not Yet  
High 12.30 12.11 12.05 12.05 12.27 12.29 12.15 12.25 12.41 12.78 12.39 12.73
Low 11.88 11.68 11.76 11.90 11.86 11.90 11.47 11.80 11.83 11.65 11.22 11.46
Close/Last 12.04 11.91 12.05 12.02 12.17 12.03 12.10 11.92 12.41 12.23 11.60 12.49

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