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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 May 10, 2021
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   26 29 33 33 34 34 34 34 34 35 35
Closed Higher   10 14 15 20 16 16 13 19 15 18 14
Exceeded High   7 10 13 17 10 13 9 15 12 14 9
Scenario Percentage   70% 71% 87% 85% 63% 81% 69% 79% 80% 78% 64%
Avg Max Increase   8.98% 7.75% 10.19% 9.69% 6.16% 6.48% 8.84% 12.91% 15.09% 13.35% 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 15 20 18 12 18 13 17 17 9 11
Avg Max Decline   -0.99% -1.29% -1.19% -1.76% -1.63% -2.27% -1.89% -3.39% -3.25% -1.59% -1.30%
Max Decline   -4.57% -7.59% -4.56% -5.84% -5.44% -12.11% -3.40% -8.92% -7.67% -5.53% -5.72%
Avg Days to Max Decline   4 5 6 9 6 14 8 11 9 6 2
2020 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   26 29 33 33 34 34 34 34 34 35 35
Closed Lower   16 15 18 13 18 18 20 15 19 17 21
Penetrated Low   12 14 14 10 12 14 15 12 12 12 9
Scenario Percentage   75% 93% 78% 77% 67% 78% 75% 80% 63% 71% 43%
Avg Max Decline   5.91% 6.30% 7.34% 8.78% 8.40% 9.96% 9.70% 9.86% 8.90% 9.26% 4.19%
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   17 19 22 15 15 17 19 19 19 11 9
Avg Max Increase   -1.46% -1.42% -1.99% -3.32% -1.54% -2.36% -3.10% -4.52% -2.70% -1.92% -1.25%
Max Increase   -4.39% -8.99% -6.82% -6.20% -5.49% -8.33% -14.10% -15.71% -5.22% -8.21% -4.62%
Avg Days to Max Increase   10 9 10 11 13 6 10 9 8 5 2
2020 Contract Condition   Yes   Yes   Yes     Yes      
Action   Yes   Yes   Yes     No      
High 12.05 12.05 12.24 12.24 12.10 12.15 12.06 12.24 12.08 12.67 12.61 12.76
Low 11.76 11.94 11.94 11.80 11.66 11.68 11.61 11.64 11.22 11.50 12.06 11.85
Close/Last 12.05 12.02 12.12 11.99 12.05 11.68 12.02 12.02 11.64 12.36 12.48 12.53

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