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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Oats(CBOT) as of May 17, 2024
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   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 20 22 23 28 19 21 19 17 21 23
Exceeded High   13 15 15 22 20 8 13 15 12 16 13
Scenario Percentage   72% 75% 68% 96% 71% 42% 62% 79% 71% 76% 57%
Avg Max Increase   14.32% 10.81% 11.64% 13.18% 10.41% 9.32% 14.24% 13.90% 11.99% 10.57% 9.14%
Max Increase   30.55% 28.52% 38.40% 36.29% 20.56% 22.42% 53.11% 39.65% 27.04% 23.85% 19.33%
Avg Days To Max Increase   14 19 20 17 18 13 12 15 17 14 8
Avg Max Decline   -0.25% -3.95% -3.94% -1.76% -1.03% -2.20% -2.04% -2.53% -3.32% -2.68% -0.99%
Max Decline   -5.25% -7.23% -13.02% -10.00% -8.42% -6.85% -5.90% -8.72% -10.28% -10.41% -6.88%
Avg Days to Max Decline   4 9 13 5 6 5 8 9 16 6 2
2024 Contract Condition   Yes Yes Yes       Yes       Yes
Action   Yes Yes No       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   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 25 23 22 16 25 24 25 28 23 22
Penetrated Low   21 17 13 18 13 20 16 22 22 16 10
Scenario Percentage   88% 68% 57% 82% 81% 80% 67% 88% 79% 70% 45%
Avg Max Decline   9.18% 9.63% 8.48% 9.39% 8.41% 8.90% 9.40% 9.47% 11.15% 10.75% 6.17%
Max Decline   22.98% 19.67% 36.65% 35.36% 20.98% 17.68% 22.35% 20.81% 21.46% 25.88% 11.85%
Avg Days To Max Decline   17 18 20 21 16 16 20 17 18 17 9
Avg Max Increase   -1.38% -2.00% -3.08% -3.90% -2.95% -2.96% -3.45% -2.20% -3.31% -3.42% -1.53%
Max Increase   -9.75% -9.55% -7.35% -11.72% -7.89% -8.63% -9.58% -9.60% -16.53% -11.06% -5.11%
Avg Days to Max Increase   4 8 8 14 9 13 10 6 8 7 3
2024 Contract Condition         Yes Yes Yes   Yes Yes Yes  
Action         Yes Yes Yes   Yes Yes Yes  
High 372.25 434.50 485.50 521.25 516.50 465.25 421.00 398.50 386.00 378.75 376.75 406.75
Low 338.75 361.50 424.50 445.75 442.50 402.75 355.75 343.75 352.25 348.50 352.50 327.75
Close/Last 365.25 425.75 477.25 509.75 460.75 421.00 373.00 381.75 375.50 371.00 357.00 371.00

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