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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 Dec 30, 2016
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   22 25 29 29 30 30 30 30 30 31 31
Closed Higher   10 11 15 17 15 13 11 16 13 16 12
Exceeded High   7 9 13 14 9 10 7 13 10 13 9
Scenario Percentage   70% 82% 87% 82% 60% 77% 64% 81% 77% 81% 75%
Avg Max Increase   8.98% 8.59% 10.19% 10.22% 6.79% 6.56% 9.44% 14.55% 17.62% 14.20% 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 20 18 13 18 9 19 20 10 11
Avg Max Decline   -0.99% -1.44% -1.19% -1.39% -1.69% -2.69% -1.73% -3.69% -3.62% -1.70% -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 6 7 6 15 8 12 9 7 2
2016 Contract Condition           Yes Yes       Yes  
Action           Yes No       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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   22 25 29 29 30 30 30 30 30 31 31
Closed Lower   12 14 14 12 15 17 19 14 17 15 19
Penetrated Low   9 13 12 9 11 13 14 12 11 11 8
Scenario Percentage   75% 93% 86% 75% 73% 76% 74% 86% 65% 73% 42%
Avg Max Decline   6.61% 6.64% 8.11% 9.59% 9.11% 9.85% 9.71% 9.86% 8.73% 9.39% 4.45%
Max Decline   18.79% 16.15% 22.83% 27.06% 20.73% 22.47% 25.00% 24.70% 16.14% 25.91% 7.41%
Avg Days To Max Decline   18 19 21 14 15 17 19 19 18 12 10
Avg Max Increase   -1.40% -1.50% -1.73% -3.01% -1.61% -2.57% -2.82% -4.52% -2.77% -1.85% -1.41%
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   8 9 7 9 13 6 9 9 7 5 2
2016 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes   Yes
Action   Yes Yes Yes No     Yes Yes Yes   Yes
High 12.82 12.41 12.48 12.04 11.35 11.49 12.52 12.35 11.17 10.70 9.97 10.47
Low 12.21 11.64 11.52 11.32 10.15 10.19 11.19 10.90 10.00 9.39 9.35 9.78
Close/Last 12.56 12.39 12.11 11.36 10.35 11.33 11.46 10.93 10.22 9.43 9.88 9.86

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