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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Rough Rice(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   18 24 28 28 30 30 30 31 31 31 31
Closed Higher   8 13 10 15 13 17 13 15 11 14 18
Exceeded High   4 11 8 11 8 12 10 9 9 10 10
Scenario Percentage   50% 85% 80% 73% 62% 71% 77% 60% 82% 71% 56%
Avg Max Increase   16.95% 13.94% 18.95% 8.96% 8.64% 9.59% 12.34% 8.05% 16.92% 15.21% 5.96%
Max Increase   29.20% 69.00% 86.56% 30.43% 19.09% 32.30% 24.38% 33.17% 42.59% 32.42% 14.15%
Avg Days To Max Increase   14 18 20 11 11 16 15 18 20 14 9
Avg Max Decline   -1.50% -1.93% -2.15% -0.76% -1.67% -1.94% -1.60% -1.36% -2.62% -2.37% -1.60%
Max Decline   -2.60% -7.28% -6.09% -4.97% -5.80% -10.06% -5.59% -4.19% -11.22% -7.73% -5.31%
Avg Days to Max Decline   12 9 8 7 2 7 5 8 6 8 2
2017 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   18 24 28 28 30 30 30 31 31 31 31
Closed Lower   10 11 18 13 17 13 17 16 20 17 12
Penetrated Low   4 9 12 12 14 12 13 15 17 10 6
Scenario Percentage   40% 82% 67% 92% 82% 92% 76% 94% 85% 59% 50%
Avg Max Decline   7.64% 8.06% 7.28% 7.44% 6.52% 7.11% 11.00% 10.51% 8.96% 8.70% 6.97%
Max Decline   12.64% 20.21% 15.80% 16.09% 16.30% 14.03% 22.81% 19.07% 19.01% 35.58% 15.43%
Avg Days To Max Decline   24 19 20 17 16 21 18 18 22 10 8
Avg Max Increase   -3.02% -2.17% -2.06% -1.39% -1.94% -2.55% -1.80% -2.27% -3.55% -3.31% -1.31%
Max Increase   -10.16% -6.04% -6.62% -6.77% -6.09% -14.65% -4.83% -11.33% -8.21% -9.99% -2.14%
Avg Days to Max Increase   11 11 11 6 8 9 7 8 9 7 2
2017 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes   Yes
Action   Yes Yes No     Yes Yes Yes Yes   Not Yet
High 13.05 12.73 11.82 11.28 10.62 11.12 10.38 10.51 10.32 9.90 9.98 10.29
Low 11.79 11.56 10.69 10.10 10.13 10.58 9.89 9.67 9.74 9.51 9.49 9.13
Close/Last 11.98 11.56 10.84 10.14 10.56 10.65 10.21 9.86 9.79 9.56 9.89 9.13

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