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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, 2018
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   36 41 41 43 43 43 43 43 43 43 43
Closed Higher   14 19 19 22 25 18 20 17 17 19 22
Exceeded High   10 14 12 20 16 9 13 15 12 15 13
Scenario Percentage   71% 74% 63% 91% 64% 50% 65% 88% 71% 79% 59%
Avg Max Increase   12.97% 9.27% 9.46% 10.80% 9.65% 8.77% 14.77% 13.50% 11.19% 9.70% 8.42%
Max Increase   24.52% 21.14% 21.88% 36.29% 20.50% 22.42% 53.11% 39.65% 27.04% 23.85% 17.78%
Avg Days To Max Increase   13 18 19 15 16 12 12 15 16 14 6
Avg Max Decline   0.04% -4.27% -4.20% -2.27% -1.16% -1.93% -1.64% -2.11% -3.95% -3.16% -0.97%
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 14 6 5 4 6 8 18 6 1
2017 Contract Condition           Yes   Yes Yes Yes   Yes
Action           Yes   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   36 41 41 43 43 43 43 43 43 43 43
Closed Lower   22 22 22 21 17 24 23 25 26 23 21
Penetrated Low   19 15 12 17 14 18 16 22 20 14 7
Scenario Percentage   86% 68% 55% 81% 82% 75% 70% 88% 77% 61% 33%
Avg Max Decline   8.98% 9.00% 8.87% 8.60% 8.30% 9.76% 10.05% 10.21% 11.01% 11.30% 5.26%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 23.83% 22.35% 20.81% 21.46% 25.88% 8.47%
Avg Days To Max Decline   16 20 19 21 17 17 21 17 18 18 6
Avg Max Increase   -1.57% -2.65% -3.50% -4.18% -3.53% -2.93% -3.25% -2.37% -2.77% -3.35% -0.74%
Max Increase   -9.75% -9.55% -9.17% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -2.20%
Avg Days to Max Increase   4 12 7 14 11 15 11 6 7 8 2
2017 Contract Condition   Yes Yes Yes Yes   Yes       Yes  
Action   Yes Yes Yes No   No       Yes  
High 233.25 238.00 216.75 210.00 201.75 225.00 243.25 235.25 254.50 260.50 258.00 239.00
Low 221.50 213.75 202.00 191.75 188.75 190.50 215.25 216.50 224.75 241.25 221.25 213.75
Close/Last 222.50 217.75 205.25 197.25 191.25 217.00 216.75 228.50 238.75 244.25 224.25 237.50

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