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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Rough Rice(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   19 22 26 26 27 27 27 27 27 28 28
Closed Higher   10 11 13 15 13 12 10 15 12 13 12
Exceeded High   7 9 11 13 8 10 6 12 9 11 9
Scenario Percentage   70% 82% 85% 87% 62% 83% 60% 80% 75% 85% 75%
Avg Max Increase   8.98% 8.59% 11.10% 10.84% 6.32% 6.56% 8.48% 14.62% 18.41% 16.08% 6.90%
Max Increase   23.64% 21.75% 32.87% 26.57% 17.97% 12.16% 21.51% 73.73% 88.47% 77.97% 20.23%
Avg Days To Max Increase   13 17 18 17 12 18 9 19 21 9 11
Avg Max Decline   -0.99% -1.44% -1.18% -1.43% -1.74% -2.69% -1.92% -3.76% -3.65% -1.93% -1.30%
Max Decline   -4.57% -7.59% -4.56% -3.52% -5.44% -12.11% -3.40% -8.92% -7.67% -5.53% -5.72%
Avg Days to Max Decline   4 5 5 7 6 15 9 11 10 8 2
2013 Contract Condition     Yes       Yes Yes Yes      
Action     Yes       Yes No No      
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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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   19 22 26 26 27 27 27 27 27 28 28
Closed Lower   9 11 13 11 14 15 17 12 15 15 16
Penetrated Low   6 10 11 9 10 12 12 10 9 11 7
Scenario Percentage   67% 91% 85% 82% 71% 80% 71% 83% 60% 73% 44%
Avg Max Decline   6.75% 6.66% 7.91% 9.59% 9.06% 9.82% 9.47% 10.22% 9.23% 9.39% 4.03%
Max Decline   18.79% 14.69% 22.83% 27.06% 20.73% 22.47% 25.00% 24.70% 16.14% 25.91% 6.95%
Avg Days To Max Decline   22 21 21 14 15 17 18 22 19 12 10
Avg Max Increase   -1.90% -2.02% -1.87% -3.01% -1.78% -2.74% -3.00% -4.97% -2.77% -1.85% -1.64%
Max Increase   -3.92% -8.99% -5.85% -6.20% -5.49% -8.33% -14.10% -15.71% -5.22% -8.21% -4.62%
Avg Days to Max Increase   10 11 7 9 14 6 9 10 6 5 2
2013 Contract Condition   Yes   Yes Yes Yes       Yes Yes Yes
Action   Yes   Yes No No       Yes Yes Not Yet
High 15.62 15.70 15.71 15.72 15.61 15.70 15.86 16.65 16.25 16.11 15.93 15.60
Low 14.94 15.42 15.30 15.37 14.77 15.02 15.13 15.62 15.00 15.15 15.11 14.69
Close/Last 15.53 15.42 15.69 15.57 15.51 15.19 15.61 15.84 16.04 15.75 15.13 15.03

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