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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   33 38 38 40 40 40 40 40 40 40 40
Closed Higher   13 19 18 22 23 18 19 16 16 18 20
Exceeded High   10 14 11 20 15 9 12 14 12 14 13
Scenario Percentage   77% 74% 61% 91% 65% 50% 63% 88% 75% 78% 65%
Avg Max Increase   12.97% 9.27% 9.56% 10.80% 9.49% 8.77% 14.84% 13.81% 11.19% 9.40% 8.89%
Max Increase   24.52% 21.14% 21.88% 36.29% 20.50% 22.42% 53.11% 39.65% 27.04% 23.85% 19.33%
Avg Days To Max Increase   13 18 19 15 16 12 12 15 16 12 8
Avg Max Decline   0.04% -4.27% -4.30% -2.27% -1.19% -1.93% -1.64% -2.34% -3.95% -3.21% -1.68%
Max Decline   -2.19% -7.41% -13.02% -10.00% -8.42% -6.85% -5.90% -8.72% -10.28% -10.41% -6.88%
Avg Days to Max Decline   4 10 13 6 6 4 6 8 18 6 2
2014 Contract Condition       Yes   Yes Yes Yes Yes Yes   Yes
Action       No   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   33 38 38 40 40 40 40 40 40 40 40
Closed Lower   20 19 20 18 16 21 21 23 24 21 20
Penetrated Low   17 13 10 15 13 16 14 20 18 12 9
Scenario Percentage   85% 68% 50% 83% 81% 76% 67% 87% 75% 57% 45%
Avg Max Decline   9.10% 8.64% 9.59% 9.10% 8.58% 9.25% 9.32% 10.04% 10.73% 11.52% 6.17%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 11.85%
Avg Days To Max Decline   15 19 20 21 16 17 21 18 19 17 9
Avg Max Increase   -1.59% -2.98% -3.79% -3.92% -3.37% -2.72% -3.66% -2.40% -2.87% -3.54% -1.00%
Max Increase   -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -2.80%
Avg Days to Max Increase   4 11 7 13 10 15 12 7 7 8 3
2014 Contract Condition   Yes Yes   Yes           Yes  
Action   Yes Yes   Yes           Not Yet  
High 372.50 396.50 365.50 357.25 344.25 322.00 323.50 335.00 387.75 498.00 504.50 438.50
Low 355.75 365.50 328.50 329.50 302.75 300.00 303.00 313.50 315.75 356.25 386.00 390.50
Close/Last 369.50 365.50 336.25 344.25 302.75 307.75 316.75 325.25 361.25 462.50 399.00 418.50

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