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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Soybeans(CBOT) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 23 23 22 20 19 22 18 24 26 17
Exceeded High   23 20 18 21 16 12 17 13 20 14 11
Scenario Percentage   92% 87% 78% 95% 80% 63% 77% 72% 83% 54% 65%
Avg Max Increase   5.98% 7.61% 16.46% 16.06% 17.22% 11.66% 9.84% 10.79% 6.82% 5.76% 3.38%
Max Increase   14.58% 25.55% 52.48% 63.29% 54.89% 32.84% 36.66% 20.86% 19.91% 20.00% 8.09%
Avg Days To Max Increase   16 18 17 15 15 15 15 17 16 10 6
Avg Max Decline   -1.82% -1.76% -2.02% -2.62% -0.50% -2.95% -1.17% -2.64% -2.59% -1.79% -0.36%
Max Decline   -7.51% -6.19% -9.08% -12.08% -5.42% -10.01% -4.05% -6.79% -9.38% -5.00% -2.05%
Avg Days to Max Decline   9 13 8 8 2 7 4 7 7 5 3
2018 Contract Condition   Yes   Yes   Yes Yes   Yes Yes Yes  
Action   No   Yes   Yes No   Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 22 22 23 25 26 23 27 21 19 28
Penetrated Low   15 17 13 22 23 22 17 24 17 12 14
Scenario Percentage   75% 77% 59% 96% 92% 85% 74% 89% 81% 63% 50%
Avg Max Decline   6.25% 4.99% 8.89% 7.09% 9.63% 7.47% 9.46% 7.69% 7.53% 7.10% 2.41%
Max Decline   18.43% 12.84% 13.99% 16.03% 26.94% 25.70% 37.53% 21.37% 17.94% 14.95% 5.81%
Avg Days To Max Decline   10 17 17 19 15 13 13 14 17 11 6
Avg Max Increase   -1.72% -2.22% -2.29% -3.55% -3.04% -2.32% -1.57% -1.96% -2.76% -2.07% -0.97%
Max Increase   -3.85% -7.18% -7.29% -12.62% -12.51% -13.69% -7.17% -7.92% -6.83% -4.43% -2.23%
Avg Days to Max Increase   6 11 8 12 7 7 5 6 5 6 3
2018 Contract Condition     Yes   Yes     Yes       Yes
Action     Yes   Yes     No       Yes
High 1035.25 1038.50 1036.00 975.00 987.00 965.25 1054.25 1009.25 997.00 1013.00 1008.25 1015.00
Low 985.75 1000.25 956.25 948.00 923.50 915.25 967.00 929.25 947.50 963.25 967.00 943.25
Close/Last 1004.50 1021.75 959.75 960.25 926.25 962.50 1016.00 954.75 978.50 984.75 985.75 951.75

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