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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 21, 2022
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   22 25 31 32 35 35 35 35 35 35 35
Closed Higher   7 16 11 15 15 22 18 15 12 19 14
Exceeded High   3 10 9 14 13 20 11 13 8 13 9
Scenario Percentage   43% 63% 82% 93% 87% 91% 61% 87% 67% 68% 64%
Avg Max Increase   5.31% 6.98% 8.09% 6.93% 9.97% 9.12% 7.37% 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 17 18 17 11 18 14 13 12
Avg Max Decline   -1.30% -1.27% -1.95% -1.86% -1.22% -1.76% -1.70% -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
2021 Contract Condition         Yes   Yes Yes     Yes  
Action         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   22 25 31 32 35 35 35 35 35 35 35
Closed Lower   15 9 19 17 20 13 17 19 22 16 21
Penetrated Low   11 7 15 16 16 9 14 17 17 11 9
Scenario Percentage   73% 78% 79% 94% 80% 69% 82% 89% 77% 69% 43%
Avg Max Decline   6.14% 7.20% 6.70% 7.06% 7.22% 11.45% 7.57% 10.08% 9.15% 9.57% 3.52%
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   16 25 16 16 22 14 15 17 20 17 10
Avg Max Increase   -1.07% -1.35% -1.24% -1.37% -2.11% -2.94% -3.14% -3.11% -3.82% -2.43% -1.30%
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   9 7 6 8 11 8 18 7 10 6 3
2021 Contract Condition   Yes Yes Yes   Yes     Yes Yes   Yes
Action   Yes Yes No   No     Yes No   Yes
High 12.47 12.30 12.10 12.10 12.87 12.87 13.00 13.78 14.21 14.00 13.85 13.69
Low 12.20 11.92 11.82 11.58 11.92 12.59 12.71 12.88 13.34 12.50 12.75 13.01
Close/Last 12.20 11.94 11.92 11.91 12.87 12.76 13.00 13.66 13.55 13.48 13.68 13.13

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