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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Rough Rice(CBOT) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 20 26 27 30 30 30 30 30 30 30
Closed Higher   5 13 11 11 15 17 16 12 11 15 12
Exceeded High   3 7 9 10 13 15 10 10 7 12 7
Scenario Percentage   60% 54% 82% 91% 87% 88% 63% 83% 64% 80% 58%
Avg Max Increase   5.31% 9.21% 8.09% 9.12% 9.97% 9.72% 7.70% 6.83% 8.94% 12.19% 9.44%
Max Increase   11.11% 25.44% 23.19% 23.16% 34.06% 26.96% 22.02% 11.61% 21.03% 65.96% 39.29%
Avg Days To Max Increase   18 22 17 17 18 15 12 18 12 14 12
Avg Max Decline   -1.30% -1.42% -1.95% -1.66% -1.22% -1.36% -1.81% -4.22% -2.95% -2.70% -1.67%
Max Decline   -2.87% -7.69% -4.80% -6.96% -4.59% -4.31% -5.28% -12.46% -5.52% -9.44% -3.97%
Avg Days to Max Decline   2 5 16 5 9 10 5 13 10 6 4
2016 Contract Condition     Yes         Yes        
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 20 26 27 30 30 30 30 30 30 30
Closed Lower   12 7 14 16 15 13 14 17 18 15 18
Penetrated Low   9 5 11 15 13 9 13 15 14 11 8
Scenario Percentage   75% 71% 79% 94% 87% 69% 93% 88% 78% 73% 44%
Avg Max Decline   7.15% 8.67% 8.09% 7.43% 8.13% 11.45% 7.98% 10.26% 9.24% 9.57% 3.78%
Max Decline   16.73% 12.53% 19.93% 17.53% 21.93% 28.05% 22.07% 23.56% 25.86% 24.54% 6.53%
Avg Days To Max Decline   15 25 18 16 22 14 15 17 19 17 11
Avg Max Increase   -0.95% -1.02% -0.98% -1.43% -1.88% -2.94% -2.83% -3.43% -3.50% -2.43% -1.55%
Max Increase   -4.70% -3.16% -2.94% -7.30% -6.00% -6.49% -11.65% -8.59% -16.01% -7.27% -3.52%
Avg Days to Max Increase   7 8 5 9 9 8 16 8 9 6 4
2016 Contract Condition   Yes   Yes Yes Yes Yes   Yes Yes Yes Yes
Action   Yes   Yes Yes Yes No   Yes Yes Yes Not Yet
High 13.24 13.29 12.82 12.54 12.34 12.01 11.15 11.50 12.35 12.14 10.95 10.65
Low 11.94 12.10 12.21 11.62 11.27 11.14 9.90 10.00 11.00 10.59 9.72 9.16
Close/Last 13.15 12.24 12.56 12.37 12.01 11.22 10.15 11.26 11.19 10.65 9.94 9.20

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